Options on an underlying can only truly be hedged using other options on the same underlying. Trying to create a hedge with just cash and the underlying (or with “similar” underlyings) will leave the trader exposed to errors that can blow up the portfolio.
I suspect this applies to other domains as well. Insurance in […]
I just realized that another mechanism through which we can see increasing concentration (inequality, kurtosis) is by building systems on top of on another. If System B is driven by the behavior of System A, and System A itself is fat-tailed, we can expect to see the mechanisms of concentration playing themselves out in System […]
I’m beginning to suspect that the notion of entropy outside the physical domain is simply a mathematical construct and may have nothing really to do with “information” as the word is generally accepted (unless you change the numeraire and define information as entropy). I claim that we can work with it as a mathematical construct […]
Wiki Source a ces livres par Brochard:
Les Sceptique grecs, La Méthode expérimentale chez les Anciens, et De la croyance
C’est gratuit et en francais, bien sur.
Nassim Taleb’s notebook discusses the “Parabole Chinoise” [In french, google translate does an ok job].
I don’t know much about climate change and I don’t have a position on it, except to say that we should tread carefully. But I do find two points interesting:
First, climate scientists are in the unusual position of arguing that while short-term phenomena (weather) are highly chaotic (butterfly effect), long-term phenomena (climate) are relatively stable […]
More notes from my Travelogue:
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In the Suan Pakkad Palace Museum in Bangkok, there is a letter. The curator wouldn’t let me photograph it, but I was able to copy it out by hand. The letter talks about a major archeological find in Ban Chiang, Thailand. It is now a UNESCO World Heritage Site. It […]
I’ve always had a fascination for rainforests. In early 2007, I spent a couple of months at a research station in Amazonian Peru. While there I met a prominent ethno-biologist studying indigenous tribes in the area. We got to talking about the origins of Voodoo in the area. These notes first appeared in my Travelogue: […]
Nassim Taleb’s latest interview with The Sunday Times is very well done and talks about the underemphasized issue of behavior in the absence of Black Swans. I had been thinking about the same topic over the last few days. Here are my thoughts:
The part of TBS that discusses being a fool in the right places […]
I took a few business courses at Stanford. They were pretty entertaining and my favorite was a course on Supply-Chain Management. It was a series of case-studies that all started or ended with: “Rob looked out of his office window overlooking the hills in Palo Alto and wondered how he was going to …”
Invariably, the […]
