Mathematical Finance Seminar

October 25, 2001 , 5:30 PM to 7:00 PM

Nassim Nicholas Taleb, Empirica LLC

Fooled by Randomness: The hidden role of chance in markets and in life

The talk is a presentation of the central topic of the book Fooled by Randomness, a general public discourse on general aspect of randomness that, while present in daily life, are particularly magnified in the trading world. It revolves around many facets of the fact that the observer of a stochastic process sees finite realizations, never the generating process itself. General biases like distribution of the upper bound. The talk presents some clinical methods in dealing with fat tails, non-stationary series, non-Markov properties, and regime-switching processes. Meta-risk, or model risk is presented.