Juraj on Nostr: From Raphael Douady: Did you hear about the "tail concentration effect"? When a ...
From Raphael Douady:
Did you hear about the "tail concentration effect"?
When a #blackswan shows up, everything goes wrong and correlations spike to 100%. In other words, any risk factor becomes a risk source.
Correlations are not stable at all, particularly under extreme events. You need proper models to handle it, starting with #nonlinear.
Nonlinearity is more important than multi-factor.
Comic by Stefan Gasic (highly recommended)
Published at
2024-10-01 09:42:00 UTCEvent JSON
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"content": "From Raphael Douady:\n\nDid you hear about the \"tail concentration effect\"? \n\nWhen a #blackswan shows up, everything goes wrong and correlations spike to 100%. In other words, any risk factor becomes a risk source. \n\nCorrelations are not stable at all, particularly under extreme events. You need proper models to handle it, starting with #nonlinear.\n\nNonlinearity is more important than multi-factor.\n\nComic by Stefan Gasic (highly recommended) \n\n\n\nhttps://m.primal.net/LHQS.png\nhttps://m.primal.net/LHQT.jpg\n",
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