Discover and read the best of Twitter Threads about #RWRI17
Most recents (5)
Highlights of the last day of #RWRI17 (parting wisdom)
▪️No rumor can be considered true until officially denied.
▪️The world is more fat tailed than you think.
▪️In the risk taking world, only the hyperparanoid will survive.
▪️If it makes sense to buy an option, don't buy it.
▪️No rumor can be considered true until officially denied.
▪️The world is more fat tailed than you think.
▪️In the risk taking world, only the hyperparanoid will survive.
▪️If it makes sense to buy an option, don't buy it.
▪️Correlation is not causation
correlation. What is the correlation when something huge happens?
▪️Under fat tails, maximum estimate of the population average is more appropriate than sample mean.
▪️Treat the companies you are investing in as your own business.
correlation. What is the correlation when something huge happens?
▪️Under fat tails, maximum estimate of the population average is more appropriate than sample mean.
▪️Treat the companies you are investing in as your own business.
▪️Every genuine service is genuine in its own way, but all fraudulent schemes are alike. Human nature stays the same irrespective of technology. Wolves of XYZ Street target the same weaknesses.
▪️Nobody blows up on the know.
▪️Nobody blows up on the know.
Black Swans don’t happen on a schedule. We can’t predict when they’ll happen.
But we can predict our vulnerability to them.
Thread based on @nntaleb's lectures at #RWRI17
But we can predict our vulnerability to them.
Thread based on @nntaleb's lectures at #RWRI17
1. We’ll use three building blocks to understand how to predict vulnerability to Black Swans:
• Fragility
• Nonlinearities
• Modeling under uncertainty
• Fragility
• Nonlinearities
• Modeling under uncertainty
2. Fragile things don’t like volatility.
Consider three levels of shock to a coffee cup:
• Level 1 shock: cup doesn’t break
• Level 2 shock: cup maybe breaks
• Level 3 shock: cup definitely breaks
Consider three levels of shock to a coffee cup:
• Level 1 shock: cup doesn’t break
• Level 2 shock: cup maybe breaks
• Level 3 shock: cup definitely breaks
1/7
Day 7 & 8 & 9 Highlights of #RWRI17
▪️If something involves ruin, probabilistic estimates are worthless. 100 people playing Russian roulette exhibit different properties from one man playing 100 times. After 7 trials, the man might face the ultimate death risk.
@nntaleb
Day 7 & 8 & 9 Highlights of #RWRI17
▪️If something involves ruin, probabilistic estimates are worthless. 100 people playing Russian roulette exhibit different properties from one man playing 100 times. After 7 trials, the man might face the ultimate death risk.
@nntaleb
2/7
▪️Only one of the potential paths will be brought into actuality. If unsure what to do next, you should ask yourself: 'Do you want this again and innumerable times again? ' Would you accept this 'eternal return' for your portfolio?
▪️Only one of the potential paths will be brought into actuality. If unsure what to do next, you should ask yourself: 'Do you want this again and innumerable times again? ' Would you accept this 'eternal return' for your portfolio?
3/7
▪️People love to make money, and hate to lose money. To survive financial storms, one must overcome this humanness. Avoid immediate gratification. Sometimes, this is more difficult than trading itself.
▪️Risk management is far more important than revenue management.
▪️People love to make money, and hate to lose money. To survive financial storms, one must overcome this humanness. Avoid immediate gratification. Sometimes, this is more difficult than trading itself.
▪️Risk management is far more important than revenue management.
1/7
Day 4 & 5 of #RWRI17
▪️Losses from a series of mediocristan risk events are highly predictable, given that they are IID (car accidents). The extremistan risks are catastrophes that cascade into even more risky events. Their aggregate losses are difficult to evaluate.
Day 4 & 5 of #RWRI17
▪️Losses from a series of mediocristan risk events are highly predictable, given that they are IID (car accidents). The extremistan risks are catastrophes that cascade into even more risky events. Their aggregate losses are difficult to evaluate.
2/7
▪️Catastrophic events violate LLN by nonlinearity and dependence, therefore losses cannot be calculated through CLT.
▪️1+a & 1-a. Perturbate your current position by +-a. If you are much better off in the +a position than the loss of -a, you are anti-fragile.
▪️Catastrophic events violate LLN by nonlinearity and dependence, therefore losses cannot be calculated through CLT.
▪️1+a & 1-a. Perturbate your current position by +-a. If you are much better off in the +a position than the loss of -a, you are anti-fragile.
3/7
▪️If the average of your payoffs in the 1+a and 1-a exceeds your current payoff, you are anti-fragile.
▪️antifragility is convexity.
▪️Most papers bullshit with correlation and p-value.
▪️If the average of your payoffs in the 1+a and 1-a exceeds your current payoff, you are anti-fragile.
▪️antifragility is convexity.
▪️Most papers bullshit with correlation and p-value.
1/3
#RWRI17 First 3 Days Highlights:
▪️real life consists of agents that manifest entirely different dynamics, whether considered as a whole or as parts (non-ergodic groups)
▪️practitioners are heuristic machines (any Italian nonna beats a Chemistry PhD in cooking pasta)
#RWRI17 First 3 Days Highlights:
▪️real life consists of agents that manifest entirely different dynamics, whether considered as a whole or as parts (non-ergodic groups)
▪️practitioners are heuristic machines (any Italian nonna beats a Chemistry PhD in cooking pasta)
2/3
▪️ if you consider insuring your house too expensive, you shouldn't own one in the first place
▪️Russian vernacular wisdom >>> most of financial risk managers. Готовь сани летом, а телегу зимой. (Repair your cart in December; in July your sledge remember)
▪️size matters
▪️ if you consider insuring your house too expensive, you shouldn't own one in the first place
▪️Russian vernacular wisdom >>> most of financial risk managers. Готовь сани летом, а телегу зимой. (Repair your cart in December; in July your sledge remember)
▪️size matters
