search

MarcosCarreira / StatisticalConsequencesOfFatTails

Python / R / Mathematica / ___ code and commentaries based on Nassim Taleb's "Statistical Consequences of Fat Tails" - Feel free to contribute
MIT License
84 stars 11 forks source link

Gathering intuitive examples #5

Open MastafaF opened 3 years ago

MastafaF commented 3 years ago

Hey there,

Thanks for putting together those resources. I came across fat tails distributions out of curiosity and started wondering whether they would be some examples that could ring a bell to me. So far, it is interesting from a theoretical stand point but is there any concrete application to your knowledge (from an industry stand point for example).

FYI, I took a look at the nicely written notebooks from @FergM: https://github.com/FergM/fattails/tree/main/notebooks

Hopefully, my question is not too wide but essentially having a couple of real-world examples with associated notebooks would be awesome. Recently NN Taleb refered to the covid mortality numbers which is quite interesting eg.

MarcosCarreira commented 3 years ago

I think that from NNT's point of view is to think about fat-tailed distributions as your prior, since it takes a lot of data to disprove it, while disproving a normal distribution is much easier (and more common). In finance this is quite common. I don't have the data ready in notebooks yet, but it shouldn't be that hard to find. I'm writing my thesis, so I might not be able to write these notebooks for the next 2 months. Best Marcos