4 ms·

I very much love and hate NNT. I think my biggest gripe about him is most of his books and podcats are kind of the same story over and over again: fat tail/Pois

by xzel 7y ago

I very much love and hate NNT. I think my biggest gripe about him is most of his books and podcats are kind of the same story over and over again: fat tail/Poisson distribution realizations. I do find him interesting most of the time but I wish he would also cover more things. And sorry this is a generalization, I know not everything he puts out is this.

vtail 7y ago
My guess the reason he is not moving on to different topics is that there thousands of people with official credentials who completely misunderstand statistics, and fat tails in particular.
- baron_harkonnen 7y ago
  The real reason that fat-tails aren't widely used isn't ignorance, it's because they are tricky to model and work with and have there own unexpected results. While assuming normality will very often lead you to underestimate risk, fat tails can easily cause you to over estimate your risk. Or think about the case of "robust" regression in which errors in a linear model are assumed to be from a fat tailed distribution like Student's T. This means that your model is not suprised by outliers. The consequence of this is that your model assumes that mode data is near the center and ignores extreme observations. As a philosophical device fat tails are very helpful and interesting, but as a practical tool for modeling they are far from a panacea
User23 7y ago
He has some legitimately very interesting ideas, but yeah there's more than a whiff of man-with-a-hammer syndrome. Understanding the tails of distributions made him rich, so obviously they're the most important mathematical construct ever! I've not regretted reading some of his books, but I strongly advise anyone who wants to maintain some respect for him to avoid his Twitter feed at all costs. And I'm one of those highly analytical types that isn't overly burdened by emotional sensitivity. The man really is just that grating in real time. I get the impression that in his books he does some rewriting to limit his more egregious impulses.
raymondh 7y ago
The book "Dynamic Hedging" stands apart from the others with none of the typical NNT personality. Instead, it reads more like a math book with amazing theorems such as predicting the exact order that various kinds of hedgers will get wiped-out in a volatile market.

by xzel 7y ago

vtail 7y ago

My guess the reason he is not moving on to different topics is that there thousands of people with official credentials who completely misunderstand statistics, and fat tails in particular.

baron_harkonnen 7y ago
The real reason that fat-tails aren't widely used isn't ignorance, it's because they are tricky to model and work with and have there own unexpected results. While assuming normality will very often lead you to underestimate risk, fat tails can easily cause you to over estimate your risk. Or think about the case of "robust" regression in which errors in a linear model are assumed to be from a fat tailed distribution like Student's T. This means that your model is not suprised by outliers. The consequence of this is that your model assumes that mode data is near the center and ignores extreme observations. As a philosophical device fat tails are very helpful and interesting, but as a practical tool for modeling they are far from a panacea

User23 7y ago

He has some legitimately very interesting ideas, but yeah there's more than a whiff of man-with-a-hammer syndrome. Understanding the tails of distributions made him rich, so obviously they're the most important mathematical construct ever! I've not regretted reading some of his books, but I strongly advise anyone who wants to maintain some respect for him to avoid his Twitter feed at all costs. And I'm one of those highly analytical types that isn't overly burdened by emotional sensitivity. The man really is just that grating in real time. I get the impression that in his books he does some rewriting to limit his more egregious impulses.

raymondh 7y ago

The book "Dynamic Hedging" stands apart from the others with none of the typical NNT personality. Instead, it reads more like a math book with amazing theorems such as predicting the exact order that various kinds of hedgers will get wiped-out in a volatile market.