tag:blogger.com,1999:blog-7905515.post2608152586779607219..comments2024-03-14T11:09:32.759-05:00Comments on Falkenblog: Taleb Confronts His CriticsEric Falkensteinhttp://www.blogger.com/profile/07243687157322033496noreply@blogger.comBlogger14125tag:blogger.com,1999:blog-7905515.post-28214740559613377032009-11-02T05:32:26.961-06:002009-11-02T05:32:26.961-06:00I don't know anyone who believed that returns ...I don't know anyone who believed that returns are always lognormal. I suppose that's true for someone totally knew to finance.Eric Falkensteinhttps://www.blogger.com/profile/07243687157322033496noreply@blogger.comtag:blogger.com,1999:blog-7905515.post-4445537644459881982009-10-31T21:25:02.284-05:002009-10-31T21:25:02.284-05:00As an options trader, I have read all of Taleb'...As an options trader, I have read all of Taleb's books.They are all worth reading.<br /><br />But basically, his whole approach boils down to one idea: descriptive statistics work until they don't.<br /><br />I don't know whether that is an original idea or not, but it is a very USEFUL idea, and if you believe that market returns will ALWAYS be lognnormally distributed, or that risk can can always be hedged, well, good luck with that.Karl Knoreply@blogger.comtag:blogger.com,1999:blog-7905515.post-53739545715176214842009-10-28T22:37:47.894-05:002009-10-28T22:37:47.894-05:00@Eric,
The question about ex ante/post is interes...@Eric,<br /><br />The question about ex ante/post is interesting and raises other issues.<br /><br />I find Taleb, like Soros, interesting, despite both of them being maddeningly unclear and having an undergraduate's cockiness.<br /><br />(Soros may get better because of his association with Colin McGinn, a very good philosopher.)<br /><br />We are unlikely to agree about the value of Taleb's work, probably because I don't work in financial world and so his jabs don't bite so much.michael websterhttps://www.blogger.com/profile/08709023254632080905noreply@blogger.comtag:blogger.com,1999:blog-7905515.post-66212541959293775812009-10-28T10:08:10.783-05:002009-10-28T10:08:10.783-05:00Avast, ye swab! Newtonian gravity works only too w...Avast, ye swab! Newtonian gravity works only too well at a plank's length — but the Wikipedia entry for <b><i>Planck Length</i></b> was interesting in its own right.<br /><br />Thanks for the concept, even if your word processor unhelpfully miscorrected what you wrote to what you got.<br /><br />PS @Anon from one pedant to another: on my side of the pond, <i>data</i> is often accepted as a (singular) “mass” noun, much as we all accept <i>agenda</i> despite its roots as a Latin plural.Walt Frenchhttps://www.blogger.com/profile/00873789914522579055noreply@blogger.comtag:blogger.com,1999:blog-7905515.post-73936759961674190302009-10-28T08:56:36.356-05:002009-10-28T08:56:36.356-05:00he does not apply it ex ante, only ex post. If yo...he does not apply it ex ante, only ex post. If you can find a consistent assertion that certain events(eg, government bonds crashing) are undervalued, I'd like to see it. It would be a testable hypothesis, scientific. Instead, he blathers on with neologisms and claims of originality. He embodies everything he writes against: pompous, unempirical, obtuse.Eric Falkensteinhttps://www.blogger.com/profile/07243687157322033496noreply@blogger.comtag:blogger.com,1999:blog-7905515.post-50290830773927098002009-10-28T08:38:09.913-05:002009-10-28T08:38:09.913-05:00@ Eric, ok suppose he says "sometimes", ...@ Eric, ok suppose he says "sometimes", that doesn't make it untestable. We just want to know which rare events he thinks are even less probable than the standard theory would have predicted or retrodicted. If there aren't any, then that would make the theory vacuous. My sense is that you don't think Taleb or any of his supporters are up to this task. Yes?michael websterhttps://www.blogger.com/profile/08709023254632080905noreply@blogger.comtag:blogger.com,1999:blog-7905515.post-27538391004740729602009-10-27T12:43:13.305-05:002009-10-27T12:43:13.305-05:00" Explaining most of the data is easier"..." Explaining most of the data is easier"<br />Here, 'is' pertains to 'explaining', not 'data'.Eric Falkensteinhttps://www.blogger.com/profile/07243687157322033496noreply@blogger.comtag:blogger.com,1999:blog-7905515.post-73520266527567847192009-10-27T12:41:02.260-05:002009-10-27T12:41:02.260-05:00data are (data is =inncorrect) data are pluraldata are (data is =inncorrect) data are pluralAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-7905515.post-75578351441617278472009-10-27T09:24:16.072-05:002009-10-27T09:24:16.072-05:00He doesn't say rare events are rarer than expe...He doesn't say rare events are rarer than expected, that would be a testable statement...he qualifies that by saying 'sometimes'...so it's untestable, pointless.Eric Falkensteinhttps://www.blogger.com/profile/07243687157322033496noreply@blogger.comtag:blogger.com,1999:blog-7905515.post-84181930078425587042009-10-27T09:13:39.600-05:002009-10-27T09:13:39.600-05:00Eric;
In the piece you point to, Taleb says that ...Eric;<br /><br />In the piece you point to, Taleb says that rare events are even less likely than we would think from reviewing past data - they are just more harmful.<br /><br />This sounds to me in direct contrast to people who believe that the problem with our models is that rare events are not that rare.<br /><br />If true, it would be important and novel. Yes?michael websterhttps://www.blogger.com/profile/08709023254632080905noreply@blogger.comtag:blogger.com,1999:blog-7905515.post-15992945285612811992009-10-26T21:44:30.295-05:002009-10-26T21:44:30.295-05:00NNT is an ass. You've got it right: if his wo...NNT is an ass. You've got it right: if his work was truly unique, then he wouldn't have to spend so much energy trying to convince everyone that it is so. He seems to care more about whether these people recognize his brilliance than the ideas he's trying to put forth.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-7905515.post-22795691676002991792009-10-26T18:47:48.934-05:002009-10-26T18:47:48.934-05:00I think Taleb's statements are annoying becaus...I think Taleb's statements are annoying because it's like someone arguing that inflation is primarily caused by increases in the money supply, and then demanding that people recognize the novelty of the statement. It's true, but it's definitely not new, and the insistence that it is new highlights a real bizarre, willful, ignorance.Eric Falkensteinhttps://www.blogger.com/profile/07243687157322033496noreply@blogger.comtag:blogger.com,1999:blog-7905515.post-56101922944161882882009-10-26T14:06:06.425-05:002009-10-26T14:06:06.425-05:00You say that there is literature, but NNT is also ...You say that there is literature, but NNT is also right that many have operated as if it were not there.<br /><br />Or maybe you are defending a mainstream with a literature they did not follow.<br /><br />I've seen, for instance, people use Black and Scholes option price models on oil. Oil? Who having read your literature would think that past volatility predicted future in that absurdly political domain?Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-7905515.post-36536128291032290242009-10-26T11:01:18.618-05:002009-10-26T11:01:18.618-05:00First of all a big thanks for your time & idea...First of all a big thanks for your time & ideas on your blog, I really enjoy it. But if I can borrow 2 lines from your previous work: "Good ideas are worth repeating, and they not only make you appear smart, they actually make you smarter! <br />I don't think it is a complete philosophy of life, but like a flea market I can take what I want, and there's a lot there."<br />So quite a few smart people are arrogant and self serving, so what. If they can raise an iota of curiosity or stir debate within the stuffy academia-more power to them and more benefit to the common man (who is a bit curious). <br />Don't nit pick and harp on Taleb, (sounds like sour grapes). Your ideas & original work is a much better read then your criticism. Thanks again, SKAnonymousnoreply@blogger.com