Peter Carr Brooklyn Quant Experience (BQE) Lecture Series: Nassim Nicholas Taleb

We are excited to welcome Nassim Nicholas Taleb to the Peter Carr BQE Lecture Series.

Title

Some (Very) Practical Problems with Probability

Abstract

1. In a survival function, under fat tails, errors on probability translate into disproportionately large, possibly infinite, errors on threshold. The same applies to errors on growth rates for diseases, as well as academic papers on forecasting.
2. Discussion of fundamental technical errors in psychology papers with respect to probability.
3. Fooled by correlation and relative distances in the geometry of information. We propose heuristics for the application of entropy methods for genetic distances.

Bio

Nassim Nicholas Taleb was an option arbitrage trader for more than two decades, closing more than half a million option transactions, before becoming a researcher and scholar of risk and probability. He is the author of Dynamic Hedging: Managing Vanilla and Exotic Options (Wiley 1997), which bridges the gap between theory and practice, as well as Statistical Consequences of Fat Tails (STEM 2020, 2023), on how to adapt statistical methods to handle nonGaussian distributions. 

Taleb spent 12 years at NYU Tandon School of Engineering as a distinguished professor of risk engineering and published more than 80 technical papers related to applied probability. Since 2007, he has been involved with Universa Investments. His nontechnical work, grouped in the Incerto (which includes The Black Swan and Antifragile, etc.) is published in 49 languages. 

NYU Students are highly encouraged to attend in person. All other non-NYU guests are invited to attend virtually unless otherwise noted.

Attend Virtually

Meeting ID: 957 2642 6707
Password: BQE105NN