THE PROBLEM OF FORECASTING - mcompetitions.unic.ac.cy · The catastrophe principle: for the class...

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THE PROBLEM OF FORECASTING Nassim Nicholas Taleb (Cypriot name: Nikos Philologos) Tandon School, NYU

Transcript of THE PROBLEM OF FORECASTING - mcompetitions.unic.ac.cy · The catastrophe principle: for the class...

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THE PROBLEM OF FORECASTING

Nassim Nicholas Taleb(Cypriot name: Nikos Philologos)

Tandon School, NYU

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RetirementOrigin

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Retirement

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Expert Problem

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8

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BINARY VS VANILLA

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Thin tails

Fat Tails

5 10 15Exit Time

0.1

0.2

0.3

0.4

0.5

0.6

Probability

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FAT TAILS

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Reasoning Errors: It is not changing the color of the dress

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4 5 6 7 8 9 10Deviation(σ)

1×1032

2×1032

3×1032

4×1032

5×1032

6×1032

Ratio ofS[K]2

S[2 K]

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Extremistan

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The catastrophe principle: for the class of subexponential distributions, ruin is more likely to come from a single extreme event than a series of bad episodes

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Law of Large Numbers

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Convergence (temporal & cross sectional)

20 40 60 80 100n

1

2

3

4

MAD

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PAYOFFS

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ConflationProblem

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Benefits fromDecline

SeriousHarm fromDecline

StartingPoint

20 40 60 80 100 120

-60

-40

-20

20

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80 100 120 140x

-10

-5

5

10

Payoff

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-10 -5 5 10

2

4

6

8

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Absence of Evidence…

Reasoning and Fat Tailedness

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ELECTIONS

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Social Science Statistical Toolkit


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1 3 I ^J ? 12 Í It» OJ j^ · 1883, with the Banning home in view. To the left of the house the ruin of the old adobe fort is shown. Just below the wall are four men on horseback.

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A possible instability of the ergodic phase? 2. Dephasing in quasi-1D wires (redux ...mf23.web.rice.edu/Dephasing_Part_Deux_v14c.pdf · 2019. 9. 23. · 1. Dephasing catastrophe in

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