Nassim Nicholas Taleb

Nassim Nicholas Taleb

Nassim Nicholas Taleb ([ ˈʈɑːləb ]; Arabic نسيم نيقولا نجيب طالب; Born January 1, 1960 in Amioun , Lebanon ) is an essayist and researcher in the fields of statistics , chance, and epistemology and a former financial mathematician . He worked as a specialist in complex financial derivatives for several Wall Street companies before embarking on a second career as a scientist, studying the methods of calculating and interpreting random events and dealing with unforeseen rare but powerful events (from him " Black Swans “Called) employed.

Taleb has made it his style to embellish his scientific texts with autobiographical anecdotes.

Life

Taleb's roots are in Amioun in Lebanon. He comes from a Greek Orthodox family. He is the son of Najib Taleb, an oncologist and anthropologist , and Minerva Ghosn. His family played an important role in the Lebanese Greek Orthodox community: on his maternal side, both his grandfather and great-grandfather were Deputy Prime Ministers of Lebanon; on his father's side, his grandfather was a Supreme Court judge and his great-great-great-great-grandfather was governor of the Ottoman semi-autonomous province of Lebanon. In the Lebanese civil war from 1975 onwards, the family lost its influence and wealth.

Taleb received an MBA from the Wharton School of the University of Pennsylvania and a Ph.D. in Business Administration from the University of Paris-Dauphine . He is currently Honorary Professor of Risk Analysis at New York University Polytechnic and Visiting Professor of Marketing (Cognitive Science) at London Business School . He was a professor at the University of Massachusetts Amherst , an associate professor of mathematics at the Courant Institute at New York University, and a faculty member at the Wharton School .

His former company, Empirica LLC, has invested in hedge funds and does research, but the bulk of its business consists of portfolio protection strategies for hedge funds. Taleb is an advisor to Universa Investments, an investment firm specializing in asymmetrical payouts.

As a stock market trader, Taleb approached the usual mathematical approach to risk and uncertainty with a skeptical attitude, and he mistrusted the prevailing mathematical models and statistical interpretations. It showed the practitioner's disdain for academics in the " ivory tower ". His previous employers were UBS , CS-First Boston , Banque Indosuez , CIBC-Wood Gundy , Bankers Trust , BNP Paribas and the Chicago Mercantile Exchange .

Taleb sees himself less as a businessman but as epistemologists of chance, the personal independence by trading gained as in his book Fooled by Randomness : (original Fooled by Randomness setting out). This work became a cult book on Wall Street after its publication in 2001. It has been translated into 23 languages.

Taleb is fluent in English , French , Classical Arabic and Lebanese Arabic , is also proficient in Italian and Spanish and reads classical texts in Greek , Latin , Aramaic and Hebrew as well as in Canaanite .

Chance and the unpredictability of events

Taleb describes himself as a "skeptical empiricist ". The skepticism relates to 'rational' models and explanations of phenomena (or data series), which he calls platonic . Their usefulness is generally overestimated; at the same time, the occurrence of unpredictable and unexplainable events (or random changes in data series) is underestimated. Taleb relates this to natural scientists, economists, historians, policy makers, business people and bankers, among others. He follows the tradition of skeptical philosophers such as Socrates , Sextus Empiricus , Al-Ghazali , Pierre Bayle , Michel de Montaigne , David Hume and Karl Popper . Taleb believes that we know much less than we think we know, and that the past should not be naively used to predict the future .

Taleb now concentrates on research activities in the field of philosophy of chance and the role of uncertainty in science and society with special emphasis on the philosophy of history and the role fortunately or unfortunately random events with large impacts, which he calls "black swans" ( black swans calls) .

Many people see the world as orderly and fundamentally understandable and, according to Taleb, therefore underestimate or ignore the possibility of unpredictable events with great positive or negative effects - “ black swans ” (see also tolerance of ambiguity ). Taleb calls this a "platonic fallacy". The preference for orders and simultaneous devaluation of coincidences are shown, among other things, in three cognitive distortions :

1. Narrative fallacy : The creation of a narrative to give plausibility to an unforeseen, accidental event .
2. Ludic distortion ( ludic fallacy ): The view that the flat random in life the structured chance in games (gambling, Casino) compensates. Taleb objects to the unreflective application of models of modern probability theory such as the random walk .
3. Statistical regressive bias ( statistical regress fallacy ): The view that the nature of a random distribution can be deduced from a series of measurements .

Accordingly Taleb regarding the interpretation of history and its impact on the present describes a "triplet of opacity " ( triplet of opacity ):

1. the illusion of understanding current events
2. the retrospective distortion of historical events,
3. the overestimation of factual information combined with an overestimation of the intellectual elite.

According to Taleb, knowledge and technology are created more through “ stochastic tinkering” and hardly through targeted, rational research. He opposes social science theories and supports experimentation and the collection of facts. He refuses to form platonic theories that dictate facts and do not want to analyze them. In keeping with the rejection of views based on or similar to Plato, Taleb is reluctant to have his ideas called "theories". Since he opposes general theories and top-down concepts , he never uses the word "theory" in connection with the "black swan". For him, the term Black Swan theory is a contradiction in terms, and he urges his readers not to “platonize” the “black swan”. Rather, Taleb would "anti-theory" or "Black Swan presumption" (his consideration as Black Swan conjecture ) call.

He rejects the academic aura of economic theories. In his opinion, they too suffer from the problem of finding theories.

In his book The Black Swan , published in April 2007 , Taleb warned of the dangers created by concentration and interdependencies in banking. He saw institutions like Fannie Mae in particular at extreme risk and criticized scientists who downplayed this risk. Investments managed according to his strategies also generated massive profits in the last financial crisis.

Anti-fragility

Under the concept of anti-fragility , Taleb extends its observations and knowledge of unforeseeable events to wide areas of life, for example evolution, politics, economy, culture, technical innovation, health, education.

With the term anti-fragility, Taleb encompasses and describes the general phenomenon that in view of instability and the various forms of insecurity, productive and positive developments also occur - and not just negative and destructive ones. Antifragility is therefore generally the property or ability to improve under uncertainty, variability, disturbances and stress. Antifragility is defined as the opposite of fragility in terms of these consequences of exposure to a changing and unpredictable environment. Fragiles suffers from the influence of randomness, variability, disruption and stress; it gets worse or perishes. Antifragiles, on the other hand, wins under the same influence; it gets 'better', while the robustness of it is just not impaired and remains 'unchanged'.

Taleb describes a triad (“three-dimensional scheme”) fragile – robust – antifragile. Antifragility is not absolute, but always given up to a certain degree of intensity of change or disturbance and also related to the observer.

The property of anti-fragility can be observed and described above all in the area of ​​the living and social (and thus also including the economy). The survival of institutions such as banks or political institutions therefore depends on their degree of fragility or anti-fragility.

In view of uncertainty and uncertainty, decisions can therefore be made based on the criterion of whether something can be viewed as (more) fragile or (more) antifragile. There is no need to refer to forecasts or predictions. Precise prognoses in the area of ​​the social and living are not possible (or only to a very limited extent) due to the incomplete knowledge.

Antifragility generally manifests itself in overcompensation and overreaction to disturbances and stress, which often leads to a better result than expected or feared. This knowledge has been summarized in proverbs at least since ancient times, e.g. B. ingenium mala saepe movent ( Latin "adversity awakens the mind"), When life gives you a lemon, make lemonade ("If life gives you a treat , make lemonade out of it", necessity makes you inventive ). This includes post-traumatic growth or the observation that attention and focus on something, such as an oral presentation or a written text, increase in a restless and noisy environment. This always only applies up to a certain degree of disruption.

An example of the observation of antifragility in the biological field is the observation of the Berlin surgeon Julius Wolff (1836–1902) that bones become denser with episodic stress and degrade when they are not stressed ( Wolff's law ). A lack of stress due to little movement and long periods of rest and the associated decrease in bone density can therefore also be a reason - and not exclusively the consequence - of aging processes.

plant

Main book publications

Incerto (5 volumes)

• Volume 1: Fools of Chance: The Hidden Role of Luck in Financial Markets and in the Rest of Life . btb Verlag, Munich 2013, ISBN 978-3442746347 .
• Volume 2: The Black Swan: The Power of Highly Unlikely Events . Albrecht Knaus Verlag , Munich 2015, ISBN 978-3-8135-0686-0 .
  • The previously published volumes “The Black Swan: The Power of Highly Unlikely Events” (2008) and “The Black Swan: Consequences of the Crisis” (2010) are summarized in this edition and introduced with a new essay by Taleb.
• Volume 3: A small manual for dealing with ignorance . Albrecht Knaus Verlag, Munich 2013, ISBN 978-3-8135-0490-3 .
• Volume 4: Antifragility: Instructions for a World We Don't Understand . Albrecht Knaus Verlag, Munich 2013, ISBN 978-3-8135-0489-7 .
• Volume 5: Skin in the Game: The Risk and Its Price . Penguin Verlag, Munich 2018, ISBN 978-3-328-60026-8 .

Original English publication

• Fooled by Randomness: The Hidden Role of Chance in Life and in the Markets . Random House and Penguin, New York 2001, ISBN 0-8129-7521-9 . The book was completed in 2005 with an expanded 2nd edition.
• The Black Swan: The Impact of the Highly Improbable . Random House and Penguin, New York 2007, ISBN 978-1-4000-6351-2 . The book was completed in 2010 with a 2nd edition including the longer essay "On Robustness and Fragility" in the appendix.
• The Bed of Procrustes: Philosophical and Practical Aphorisms . Random House, New York 2010, ISBN 978-1-4000-6997-2 .
• Antifragile: Things That Gain from Disorder . Random House, New York 2012, ISBN 978-1-4000-6782-4 .
• Skin in the Game: Hidden Asymmetries in Daily Life . Random House, New York 2018, ISBN 978-0-4252-8462-9 .
  • Excerpt: The Intellectual Yet Idiot , engl.

Technical Incerto: Lectures Notes on Probability - Mathematical Parallel Version

• Volume 1: Silent Risk . DesCartes Publishing, 2015.
• Volume 2: A Mathematical Formulation of Fragility . DesCartes Publishing, 2015.

Other book publications

• Dynamic Hedging: Managing Vanilla and Exotic Options . John Wiley & Sons , New York 1997, ISBN 0-471-15280-3 .
• Together with Pasquale Cirillo : The Logic and Statistics of Fat Tails . Penguin Books , London 2018, ISBN 978-0-1419-8836-8 .

Selection of scientific publications

• P. Cirillo, NN Taleb: On the tail risk of violent conflict and its underestimation . In: Physica A: Statistical Mechanics and Applications . 452, 2016, pp. 29-45. doi : 10.1016 / j.physa.2016.01.050 .
• NN Taleb, R. Douady: On the Super-Additivity and Estimation Biases of Quantile Contributions . In: Physica A: Statistical Mechanics and Applications . 429, 2015, pp. 252-260. doi : 10.1016 / j.physa.2015.02.038 . [Statistics, Probability]
• D. Geman, H. Geman, NN Taleb: Tail Risk Constraints and Maximum Entropy . In: Entropy . 17, 2015, pp. 1-14. doi : 10.3390 / e17063724 . [Mathematics, Risk]
• NN Taleb: Unique Option Pricing Measure with neither Dynamic Hedging nor Complete Markets . In: European Financial Management . 21, No. 2, 2015, pp. 228-235. doi : 10.1111 / eufm.12055 . [Finance, Derivatives Theory]
• NN Taleb, C. Sandis: The Skin In The Game Heuristic for Protection Against Tail Events . In: Review of Behavioral Economics . 1, No. 1–2, 2014, pp. 115–135. doi : 10.1561 / 105.00000006 . [Ethics / Probability / Risk Management]
• NN Taleb, R. Douady: Mathematical definition, mapping, and detection of (anti) fragility . In: Quantitative Finance . 13, No. 11, 2013, pp. 1677–1689. doi : 10.1080 / 14697688.2013.800219 . [Risk Management]
• NN Taleb, DG Goldstein: The problem is beyond psychology: The real world is more random than regression analyzes . In: International Journal of Forecasting . 28, No. 3, 2012, pp. 715-716. doi : 10.1016 / j.ijforecast.2012.02.003 . [Decision Theory]
• C. Schmieder, C. Kinda, NN Taleb, E. Loukoianova, E. Canetti: A New Heuristic Measure of Fragility and Tail Risks: Application to Stress Testing . In: IMF Working Paper . No. 12/216, 2012. [Economics, Risk]
• EG Haug, NN Taleb: Option traders use (very) sophisticated heuristics, never the Black – Scholes – Merton formula . In: Journal of Economic Behavior & Organization . 77, No. 2, 2011, pp. 97-106. doi : 10.1016 / j.jebo.2010.09.013 . [Economics]
• NN Taleb, CS Tapiero: Risk externalities and too big to fail . In: Physica A: Statistical Mechanics and Applications . 389, No. 17, 2010, pp. 3503-3507. doi : 10.1016 / j.physa.2010.03.014 . [Risk Management]
• S. Makridakis, NN Taleb: Living in a world of low levels of predictability . In: International Journal of Forecasting . 25, No. 4, 2009, pp. 840-844. doi : 10.1016 / j.ijforecast.2009.05.008 . [Decision Theory, Statistics]
• NN Taleb: Errors, robustness, and the fourth quadrant . In: International Journal of Forecasting . 25, No. 4, 2009, pp. 744-759. doi : 10.1016 / j.ijforecast.2009.05.027 . [Decision Theory, Statistics]
• NN Taleb: Finiteness of variance is irrelevant in the practice of quantitative finance . In: Complexity . 14, No. 3, 2009, pp. 66-76. doi : 10.1002 / cplx.20263 . [Mathematical Finance]
• DG Goldstein, NN Taleb: We Don't Quite Know What We Are Talking About . In: The Journal of Portfolio Management . 33, No. 4, 2007, pp. 84-86. doi : 10.3905 / jpm.2007.690609 . [Finance]
• NN Taleb: Black Swans and the Domains of Statistics . In: The American Statistician . 61, No. 3, 2007, pp. 198-200. doi : 10.1198 / 000313007X219996 . [Statistics]
• E. Derman, NN Taleb: The illusions of dynamic replication . In: Quantitative Finance . 5, No. 4, 2005, pp. 323-326. doi : 10.1080 / 14697680500305105 . [Mathematical Finance]

Other publications

• NN Taleb: The Most Intolerant Wins: The Dictatorship of the Small Minority (chapter from Skin in the Game ), medium.com, Aug. 14, 2016
• Cirillo, P., Taleb, NN: Tail risk of contagious diseases . Nat. Phys. (2020). https://doi.org/10.1038/s41567-020-0921-x

collaboration

• Taleb worked with Benoît Mandelbrot on a theory of risk management.
• Together with Daniel Goldstein , Taleb is working on a project that empirically tests people's intuition towards ecological and consequential uncertainty.
• Taleb was a member of the Zurich.Minds community.

Awards

Taleb received a place in the Derivatives Hall of Fame in February 2001.

In 2007 Taleb won the GetAbstract International Book Award . Past winners include Benoît Mandelbrot , Malcolm Gladwell , Robert Shiller and Chris Anderson .

criticism

Taleb's assertion that statisticians turned out to be pseudoscientists as soon as financial risks emerged - because statisticians then tried to cover up their lack of competence with complicated mathematical equations - has drawn general criticism from statisticians. In doing so, the US Statisticians Association particularly attacked Taleb's writing style and his reference to statistical literature. Robert Lund says that Black Swan is sometimes “lighthearted and prone to great exaggerations; the professional statistician will find the book universally naive ”.

For Aaron Brown it seems that “Taleb has never heard of nonparametric methods, data analysis, visualization instruments or robust estimates”, but still considers his Black Swan book to be “required reading” because it stimulates independent thinking.

Despite their praise, Westfall and Hilbe complain that Taleb's criticism is "often inaccurate and sometimes unheard of".

Nobel laureate Daniel Kahneman , on the other hand, counts Taleb among the world's most important intellectuals and praises his book The Black Swan .

literature

• Nassim Taleb in the Munzinger archive ( beginning of article freely available)

Web links

• Literature by and about Nassim Nicholas Taleb in the catalog of the German National Library
• Nassim Taleb's homepage
• Book review from the Guardian
• Book review by the New York Times

Individual evidence

1. ^ Bryan Appleyard: Nassim Nicholas Taleb: the prophet of boom and doom . In: The Sunday Times , June 1, 2008.
2. ^ Stephanie Baker-Said: The Risk Maverick . (PDF; 2.8 MB) Bloomberg LP , May 2008.
3. ^ Susannah Herbert: Nassim Nicholas Taleb at The Sunday Times Oxford Literary Festival , The Times Online , April 2, 2008.
4. ^ Stephen J. Dubner: Straight From the Black Swan's Mouth . In: The New York Times , May 21, 2007.
5. ^ Bio Taleb . 2006. Archived from the original on March 30, 2006. Info: The archive link was automatically inserted and not yet checked. Please check the original and archive link according to the instructions and then remove this notice. Retrieved October 17, 2006.  
6. ^ Learning to Expect the Unexpected . 2006. Retrieved September 19, 2006.
7. ^ French Thesis Database . Archived from the original on December 27, 2008. Info: The archive link was automatically inserted and not yet checked. Please check the original and archive link according to the instructions and then remove this notice. Retrieved October 12, 2008.  
8. ↑ The hottest thinker in the world 'joins faculty - September 08, 2008 ( Memento from September 13, 2008 in the Internet Archive )
9. ^ Nassim Taleb's website . 2006. Retrieved September 19, 2006.
10. ^ Amey Stone: Profiting from the Unexpected . In: News Analysis , Businessweek , October 24, 2005. Archived from the original on October 21, 2006 Info: The archive link was inserted automatically and has not yet been checked. Please check the original and archive link according to the instructions and then remove this notice. . Retrieved September 19, 2006.  
11. ^ Joe Kolman, The World According to Nassim Taleb , Derivatives Strategy magazine. December / January 1997. Archived from the original on March 1, 2012 Info: The archive link was automatically inserted and not yet checked. Please check the original and archive link according to the instructions and then remove this notice. . Retrieved September 19, 2006.  
12. ^ Prof. Nassim Nicholas Taleb - Running with Randomness . In: Isenberg School of Management . University of Massachusetts Amherst . February 1, 2006. Archived from the original on September 9, 2006. Info: The archive link was automatically inserted and not yet checked. Please check the original and archive link according to the instructions and then remove this notice. Retrieved September 19, 2006.  
13. ↑ edge.org ( Memento of the original dated December 8, 2008 in the Internet Archive ) Info: The archive link was inserted automatically and has not yet been checked. Please check the original and archive link according to the instructions and then remove this notice. 
14. ↑ fooledbyrandomness.com
15. ↑ paragraphs 32 & 33 & 54
16. ↑ bloomberg.com , Stephanie Baker-Said, Bloomberg LP , October 14, 2008.
17. ^ The Black Swan: Quotes & Warnings that the Imbeciles Chose to Ignore
18. ↑ anti-fragility. Instructions for a world we do not understand , Knaus 2013, p. 21 f.
19. ↑ Antifragilität , p. 33 f.
20. ↑ Antifragilität , p. 45 f.
21. ↑ A lack of or inaccurate knowledge of future developments leads to the “Black Swan problem”: the impossibility of calculating risks that arise from rare events; Antifragility , p. 23
22. ↑ Antifragility , Chapter 2, pp. 70 ff.
23. ↑ Antifragilität , p. 88 ff.
24. ↑ Antifragilität , p. 93. Taleb refers here to: Gerhard Karsenty: The Complexities of Skeletal Biology . In: Nature , 423 (6937), 2003, pp. 316-318.
25. ^ Nassim Taleb Benoit Mandelbrot: A focus on the exceptions that prove the rule . In: Financial Times , March 23, 2006. Archived from the original on April 16, 2007 Info: The archive link was inserted automatically and has not yet been checked. Please check the original and archive link according to the instructions and then remove this notice. . Retrieved June 5, 2007.  
26. ^ DG Goldstein, NN Taleb: We don't quite know what we are talking about when we talk about volatility . In: Journal of Portfolio Management . (in print).
27. ↑ 2000 Hall of Fame . Derivatives Strategy magazine. March 2000. Archived from the original on November 1st, 2009. Info: The archive link was automatically inserted and not yet checked. Please check the original and archive link according to the instructions and then remove this notice. Retrieved September 19, 2006.  
28. ^ Robert Lund: Revenge of the White Swan. In: American Statistician. 61 (4) 2007, pp. 189-192.
29. ^ Aaron Brown: Strong language on Black Swans. In: American Statistician 61 (3), pp. 195-197.
30. ^ P. Westfall, J. Hilbe: The Black Swan: Praise and Criticism. In: The American Statistician. 61 (3), pp. 193-194.
31. ↑ Daniel Kahneman choice for naming an influential intellectual ( Memento of the original from December 3, 2009 in the Internet Archive ) Info: The archive link was inserted automatically and has not yet been checked. Please check the original and archive link according to the instructions and then remove this notice.