Nassim Taleb

Books Recommended By

Nassim Taleb

Nassim Nicholas Taleb is a Lebanese-American essayist, scholar, mathematical statistician, and former option trader and risk analyst, whose work concerns problems of randomness, probability, and uncertainty.
Recommended Books
Written Books
Thinking and Deciding

Thinking and Deciding

Jonathan Baron

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The Statistical Mechanics of Financial Markets

The Statistical Mechanics of Financial Markets

Johannes Voit

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Intellectual Life in the Middle Ages

Intellectual Life in the Middle Ages

Lesley M. Smith

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Nassim Taleb: "Excellent book"

Explaining Social Behavior

Explaining Social Behavior

Jon Elster

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The Count of Monte Cristo

The Count of Monte Cristo

Alexandre Dumas

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Perilous Interventions: The Security Council and the Politics of Chaos

Perilous Interventions: The Security Council and the Politics of Chaos

Hardeep Singh Puri

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The Blank Swan: The End of Probability

The Blank Swan: The End of Probability

Elie Ayache

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The Blank Slate: The Modern Denial of Human Nature

The Blank Slate: The Modern Denial of Human Nature

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Consciousness: An Introduction

Consciousness: An Introduction

Susan Blackmore

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Modern Aramaic (Assyrinan/Syriac) Dictionary

Modern Aramaic (Assyrinan/Syriac) Dictionary

Nicholas Awde

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I Think, Therefore I Laugh

I Think, Therefore I Laugh

John Allen Paulos

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Birth of a Theorem: A Mathematical Adventure

Birth of a Theorem: A Mathematical Adventure

Cédric Villani

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Statistical Models: Theory and Practice

Statistical Models: Theory and Practice

David A. Freedman

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A History of the Mind

A History of the Mind

Nicholas Humphrey

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Plato and a Platypus Walk Into a Bar

Plato and a Platypus Walk Into a Bar

Thomas Cathcart

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Free The Animal: Lose Weight & Fat With The Paleo Diet

Free The Animal: Lose Weight & Fat With The Paleo Diet

Richard Nikoley

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The Elements of Statistical Learning

The Elements of Statistical Learning

Trevor Hastie

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Bull!: A History of the Boom and Bust, 1982-2004

Bull!: A History of the Boom and Bust, 1982-2004

Maggie Mahar

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The Basic Laws of Human Stupidity

The Basic Laws of Human Stupidity

Carlo Cipolla

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Nassim Taleb: "A masterly book"

Statistical Consequences of Fat Tails

Statistical Consequences of Fat Tails

Nassim Taleb

The book investigates the misapplication of conventional statistical techniques to fat tailed distributions and looks for remedies, when possible. Switching from thin tailed to fat tailed distributions requires more than “changing the color of the dress.”

Traditional asymptotics deal mainly with either n=1 or n=∞, and the real world is in between, under the “laws of the medium numbers”–which vary widely across specific distributions. Both the law of large numbers and the generalized central limit mechanisms operate in highly idiosyncratic ways outside the standard Gaussian or Levy-Stable basins of convergence.

A few examples:

  • The sample mean is rarely in line with the population mean, with effect on “naïve empiricism,” but can be sometimes be estimated via parametric methods.
  • The “empirical distribution” is rarely empirical.
  • Parameter uncertainty has compounding effects on statistical metrics.
  • Dimension reduction (principal components) fails.
  • Inequality estimators (Gini or quantile contributions) are not additive and produce wrong results.
  • Many “biases” found in psychology become entirely rational under more sophisticated probability distributions.
  • Most of the failures of financial economics, econometrics, and behavioral economics can be attributed to using the wrong distributions.

This book, the first volume of the Technical Incerto, weaves a narrative around published journal articles.

Book Genres
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