Nassim Taleb: pick two people at random
If their combined height is 4.1m, it's basically 2.05 + 2.05.
If their combined wealth is $36M, it's almost never 18 + 18 - it's ~$1,000 and ~$36M.
Height lives in "Mediocristan," where the average tells you everything.
Wealth - and markets - live in "Extremistan," where one event dominates the whole picture.
Ruin there never comes from a string of bad days.
It comes from a single one.
~1hr lecture, free. The Black Swan author at Cambridge on why the statistics you were taught break exactly where it matters.
Being right on average means nothing if one tail empties the account.
Nassim Taleb: pick two people at random
If their combined height is 4.1m, it's basically 2.05 + 2.05.
If their combined wealth is $36M, it's almost never 18 + 18 - it's ~$1,000 and ~$36M.
Height lives in "Mediocristan," where the average tells you everything.
Wealth - and markets - live in "Extremistan," where one event dominates the whole picture.
Ruin there never comes from a string of bad days.
It comes from a single one.
~1hr lecture, free. The Black Swan author at Cambridge on why the statistics you were taught break exactly where it matters.
Being right on average means nothing if one tail empties the account.
He runs a $120B fund and bans one word from his business: "when."
Howard Marks says you can sometimes know what's coming - but never when, because timing the market means predicting human emotion, and that can't be done.
So Oaktree never bets on where it's headed; it just stays honest about where it is right now.
~13-min talk, free. The Oaktree co-founder on why trying to time the market is a fool's game.
He runs a $120B fund and bans one word from his business: "when."
Howard Marks says you can sometimes know what's coming - but never when, because timing the market means predicting human emotion, and that can't be done.
So Oaktree never bets on where it's headed; it just stays honest about where it is right now.
~13-min talk, free. The Oaktree co-founder on why trying to time the market is a fool's game.
The fund Nassim Taleb advises returned 4,144% in a single quarter - while the S&P 500 was crashing
"A high Sharpe ratio is the best indicator of a bankruptcy of a fund."
Correlation, standard deviation, portfolio theory - in a fat-tailed world Taleb says they don't just fail, they fail backwards.
~20-min talk, free. Greenwich Economic Forum, Miami - the Black Swan author
The fund Nassim Taleb advises returned 4,144% in a single quarter - while the S&P 500 was crashing
"A high Sharpe ratio is the best indicator of a bankruptcy of a fund."
Correlation, standard deviation, portfolio theory - in a fat-tailed world Taleb says they don't just fail, they fail backwards.
~20-min talk, free. Greenwich Economic Forum, Miami - the Black Swan author
The fund Nassim Taleb advises returned 4,144% in a single quarter - while the S&P 500 was crashing
"A high Sharpe ratio is the best indicator of a bankruptcy of a fund."
Correlation, standard deviation, portfolio theory - in a fat-tailed world Taleb says they don't just fail, they fail backwards.
~20-min talk, free. Greenwich Economic Forum, Miami - the Black Swan author
$1 in his fund in 1988 turned into ~$14M. 66% a year for 30 years. Zero losing years
Jim Simons didn't hire bankers. He hired physicists, astronomers and mathematicians - "you can teach a physicist finance, but you can't teach a finance person physics."
Renaissance ran on the patterns the rest of Wall Street called noise.
45-min conversation, free, interviewed by the man who runs the world's largest sovereign wealth fund.
$1 in his fund in 1988 turned into ~$14M. 66% a year for 30 years. Zero losing years
Jim Simons didn't hire bankers. He hired physicists, astronomers and mathematicians - "you can teach a physicist finance, but you can't teach a finance person physics."
Renaissance ran on the patterns the rest of Wall Street called noise.
45-min conversation, free, interviewed by the man who runs the world's largest sovereign wealth fund.
$1 in his fund in 1988 turned into ~$14M. 66% a year for 30 years. Zero losing years
Jim Simons didn't hire bankers. He hired physicists, astronomers and mathematicians - "you can teach a physicist finance, but you can't teach a finance person physics."
Renaissance ran on the patterns the rest of Wall Street called noise.
45-min conversation, free, interviewed by the man who runs the world's largest sovereign wealth fund.
Nassim Taleb just gave the clearest explanation of tail risk I've seen
He uses three methods - conditional shortfall, fragility measure, and option pricing - and shows they all converge on the same conclusion.
A 1-penny deep out-of-the-money put barely reacts to the mean going up by many standard deviations.
It explodes when variance increases.
That's the whole argument against applying standard benefit-cost logic to unknown-domain policies
Nassim Taleb just gave the clearest explanation of tail risk I've seen
He uses three methods - conditional shortfall, fragility measure, and option pricing - and shows they all converge on the same conclusion.
A 1-penny deep out-of-the-money put barely reacts to the mean going up by many standard deviations.
It explodes when variance increases.
That's the whole argument against applying standard benefit-cost logic to unknown-domain policies
Nassim Taleb just gave the clearest explanation of tail risk I've seen
He uses three methods - conditional shortfall, fragility measure, and option pricing - and shows they all converge on the same conclusion.
A 1-penny deep out-of-the-money put barely reacts to the mean going up by many standard deviations.
It explodes when variance increases.
That's the whole argument against applying standard benefit-cost logic to unknown-domain policies
Ken Griffin started Citadel right out of college with one deal: do well, raise money
He chose the partner in Chicago over New York because the Chicago guy looked like "your high school physics teacher - plain spoken, brilliant, and I felt he would care about my career."
Find the person who will care about your career.
That lesson alone is worth more than any $1,000 mentorship program.
Ken Griffin started Citadel right out of college with one deal: do well, raise money
He chose the partner in Chicago over New York because the Chicago guy looked like "your high school physics teacher - plain spoken, brilliant, and I felt he would care about my career."
Find the person who will care about your career.
That lesson alone is worth more than any $1,000 mentorship program.
Ken Griffin started Citadel right out of college with one deal: do well, raise money
He chose the partner in Chicago over New York because the Chicago guy looked like "your high school physics teacher - plain spoken, brilliant, and I felt he would care about my career."
Find the person who will care about your career.
That lesson alone is worth more than any $1,000 mentorship program.
Nassim Taleb just laid out the single most important rule in fat-tail statistics:
"work with alpha, not the mean"
The mean is not a valid variable for power-law distributions.
The estimator of alpha, however, is beautifully Gaussian - and that's your way in.
Free talk. No paywalls.
Nassim Taleb just laid out the single most important rule in fat-tail statistics:
"work with alpha, not the mean"
The mean is not a valid variable for power-law distributions.
The estimator of alpha, however, is beautifully Gaussian - and that's your way in.
Free talk. No paywalls.
Nassim Taleb just laid out the single most important rule in fat-tail statistics:
"work with alpha, not the mean"
The mean is not a valid variable for power-law distributions.
The estimator of alpha, however, is beautifully Gaussian - and that's your way in.
Free talk. No paywalls.
This is the rarest piece of HFT content on the internet - Robert Almgren walking through a real execution trade tick by tick
He's the co-founder of Quantitative Brokers and the man who wrote the Almgren-Chriss model - the standard execution algorithm used at Goldman, Citadel, Two Sigma
In this lecture he shows a live order from May 14 2018, every fill, every limit, every market reaction across 2 minutes and 40 seconds