Downing Street’s favourite intellectual is Nassim Nicolas Taleb, author of the best selling book The Black Swan.
Janan Ganesh of The Economist investigates his appeal.
Mon, 12 Mar 12
Download: http://downloads.bbc.co.uk/podcasts/radio4/analysis/analysis_20120312-2100a.mp3
Podcast home: http://www.bbc.co.uk/podcasts/series/analysis
nntaleb: Finished My Central Paper http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1669317
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Links to pdf download page for:
Convexity, Robustness, and Model Error
Nassim Nicholas Taleb
NYU-Poly
August, 31 2010
Abstract:
This discussion makes the distinction inside the Fourth Quadrant “Black Swan Domain” between fragile an robust to model (or representational) error on the basis of convexity.
• The notion of model error as a convex or concave stochastic variable.
• Why deficit forecasting errors are biased in one direction.
• Why large is fragile to errors.
• How economics as a discipline made the monstrously consequential mistake of treating estimated parameters as nonstochastic variables and why this leads to fat-tails even while using Gaussian models.
• The notion of epistemic uncertainty as embedded in model errors.
In addition, it introduces a simple practical heuristic to measure (as an indicator of fragility) the sensitivity of a portfolio (or balance sheet) to model error. Finally, it sets an explicit path to conduct policy based on robustness
Working Paper Series
Christopher Lydon / Nassim Taleb telephone interview.
3. On bailouts: My analogy is to the gambler who is now gambling with the trust fund of his unborn great-great-granchildren… Prudence should be the first thing on the agenda of governments, not speculation. Stimulus packages are speculation… We are gambling on a massive recovery. It’s too big a gamble, and besides it’s immoral.
2. In the economic crisis, and in the Gulf of Mexico, what we should be discovering is not who made what mistake, but the fact of fragility. Alas, what we don’t learn is… that we don’t learn.
1. No government can fortify something that’s inherently fragile.
HatTip to Dave Lull.
[youtube=http://www.youtube.com/watch?v=hT77byy5tWQ]
[youtube=http://www.youtube.com/watch?v=euucVyjc9Kw]
[youtube=http://www.youtube.com/watch?v=PKvhkHPY5IQ]
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ai5000 interviews Nassim Taleb
This is a link to the streaming video (which wasn’t playing very well the day I discovered it. Just added the YouTube links). So I made an audio recording of it. You’ll hear a few skips and pops and the last few seconds of the video wouldn’t play, but it’s interesting to hear NNT share a few more specifics of his (then, Feb 2010) investment strategy.
Nassim Taleb Feb. 2010 Issues for CIOs Now.mp3
What I call cash, I’ve changed my definition of cash, my cash is what I call the numerator. It’s not just cash because I’m afraid of inflation. So I have some inflation-linked securities, what I call repository of value. I have a collection of currencies and metals. So it’s a combination of inflation-linked currencies and metals, but very short term… treasury bills, from governments… is what I call cash.
HatTip to EG!
[youtube=http://www.youtube.com/watch?v=OVxcDgfTzuk]
NNT was also on CNBC yesterday. The interviewers get in the way somewhat but it’s worth watching.