Archive for The Black Swan

Texan black swan

Posted in Books, pictures with tags , , , , , , , , on September 12, 2017 by xi'an

“Un événement improbable aux conséquences d’autant plus désastreuses que l’on ne s’y est pas préparé.”

This weekend, there was a short article in Le Monde about the Harvey storm as a Texan illustration of Taleb’s black swan. An analysis that would imply every extreme event like this “once-in-a-thousand year” event (?) can be called a black swan… “An improbable event with catastrophic consequences, the more because it had not been provisioned”, as the above quote translates. Ironically, there is another article in the same journal, about the catastrophe being “ordinary” and “not unexpected”! While such massive floods are indeed impacting a huge number of people and companies, because the storm happened to pour an unusual amount of rain right on top of Houston, they indeed remain within the predictable and not so improbable in terms of the amount of water deposited in the area and in terms of damages, given the amount and style of construction over flood plains. For instance, Houston is less than 50 feet above sea level, has fairly old drainage and pipe systems, and lacks a zoning code. With mostly one or two-story high buildings rather than higher rises. (Incidentally, I appreciated the juxtaposition of the article with the add for Le Monde des Religions and its picture of a devilesque black goat!)

 

book based on a single well-known concept [smbc repost]

Posted in Books, Kids with tags , , , , , on December 26, 2016 by xi'an

falling asleep in/on the bed of Procrustes

Posted in Books with tags , , , , , , , on November 11, 2012 by xi'an

Frankly, I must admit I bought this new book of Nassim Nicholas Taleb out of sheer perversity, as I am quite prejudiced against the author’s stance as a cynic (in the philosophical sense), delivering drops of antique wisdom to the modern World from his ivory tower… Having made a living from the financial system he despises so much. The description of himself “as a flâneur, meditating in cafés across the planet” found on the flip-cover of the book did nothing to decrease this prejudice. (Nor did the fact that the editors thought relevant to quote the magazine GQ in support of the book!)

The book is a collection of aphorisms on themes dear to Taleb like randomness, religion, capitalism, culture, media, love… At 100 pages of roughly 4 aphorisms per page, this makes the cost of an aphorism in the bed of Procrustes a par with the one of a fortune cookie, with the difference that you can at least eat the cookie if the message does not suit you. (Hence an easy pun on cheap philosophy sold dear.) Indeed, the art of the aphorism is a subtle one and very few can reach the depth of Pascal, Nietzsche, or Cioran…  I do not think Taleb comes any near this level: his aphorisms fall flat and dead, having none of the impact that could drive one’s life or even one’s current day-life. Take for instance “There is no intermediate state between ice and water but there is one between life and death: employment” (p.8). What does this sentence convey? That being employed by a company, which is the case for most of our contemporaries, is a semi-death. Or a form of modern slavery. (There are other aphorisms with the same underlying idea.) Great: Now what should we do about it?! Turn all people into self-entrepreneurs?! Tag employees as suckers and members of the lower class or cast and despise them from our lofty ivory tower or a trendy boulevard Saint-Germain café?! Take again “Marriage is the institutional process of feminizing men—and feminizing women“. Even though I presume this pearl of wisdom considers solely heterosexual marriage, I have serious trouble understanding what this means and in which sense this is a criticism of marriage… Does this imply we should switch to the more macho tradition of bride rapts?! (Again, there are other aphorisms with similar sexist undertones, e.g. p.38,  p.95, p.99 or p.103.) I could go on like that for almost every entry in the book…

Hence this unsubtle title to the post: while I realise how dangerous it is to fall asleep in Procrustes’ bed, I sort of fell asleep on the bed of Procrustes, at least figuratively!  I (again) see no point in this collection of aphorisms as they only serve to illustrate both the huge ego of the author and his aristocratic views on life and society. And to surf on the editorial success of the Black Swan and Fooled by Randomness. In conclusion, I got just what I was looking for! However, I see no point in recommending a book where the author scorns with “polite disdain” at least 99% of his contemporaries…

17 equations that changed the World (#2)

Posted in Books, Statistics with tags , , , , , , , , , , , , , , , , , on October 16, 2012 by xi'an

(continuation of the book review)

If you placed your finger at that point, the two halves of the string would still be able to vibrate in the sin 2x pattern, but not in the sin x one. This explains the Pythagorean discovery that a string half as long produced a note one octave higher.” (p.143)

The following chapters are all about Physics: the wave equation, Fourier’s transform and the heat equation, Navier-Stokes’ equation(s), Maxwell’s equation(s)—as in  The universe in zero word—, the second law of thermodynamics, E=mc² (of course!), and Schrödinger’s equation. I won’t go so much into details for those chapters, even though they are remarkably written. For instance, the chapter on waves made me understand the notion of harmonics in a much more intuitive and lasting way than previous readings. (This chapter 8 also mentions the “English mathematician Harold Jeffreys“, while Jeffreys was primarily a geophysicist. And a Bayesian statistician with major impact on the field, his Theory of Probability arguably being the first modern Bayesian book. Interestingly, Jeffreys also was the first one to find approximations to the Schrödinger’s equation, however he is not mentioned in this later chapter.) Chapter 9 mentions the heat equation but is truly about Fourier’s transform which he uses as a tool and later became a universal technique. It also covers Lebesgue’s integration theory, wavelets, and JPEG compression. Chapter 10 on Navier-Stokes’ equation also mentions climate sciences, where it takes a (reasonable) stand. Chapter 11 on Maxwell’s equations is a short introduction to electromagnetism, with radio the obvious illustration. (Maybe not the best chapter in the book.) Continue reading

AMSI-SSAI Lectures #2-3

Posted in Books, pictures, Statistics, Travel, University life with tags , , , , , , , , , on July 18, 2012 by xi'an

The AMSI lecture at UNSW on ABC for model choice last Monday was very well-attended, with additional participants from other universities  like Newcastle connected through the grid, and Robert Kohn set a follow-up questions-and-answers session with local faculty and students. Interesting comments on pseudo-models and misspecified models… And new ideas for incoming Master projects. I am quite impressed by the School of Economics in the Australian School of Business and by the UNSW campus as a whole. (Maybe the more because a kind faculty who set me on my way there asked me from which part of England I was from!) This is the second econometrics department I visit this semester and I think we should beef up the interactions between stat and econ… (Maybe starting a Bayesian Econometric section at ISBA would help now that the Bayesian computation section has reached the critical level of support to be created!)

On Tuesday, I then took the train(s) to the University of Western Sydney, which allowed me to see much more of the greater Sydney than the (more privileged) area between downtown and Bondi! There were fewer peoples attending at UWS but video links with other campuses helped in reaching a critical level. Before returning to UNSW, I also managed to get a glimpse of one of Australia’s oldest buildings, a former girl orphanage built in 1813…

I must acknowledge some kind of “travel fatigue” syndrome at this stage of my trip, due both to a poor sleeping pattern and the constraints of staying a few days at a given place, with some difficulties to concentrate on deeper issues than planning the next move and not forgetting anything at the current one! I am thus looking forward the next fortnight in Monash University, Melbourne, where I am teaching a two-day course in addition to working with Gael Martin and giving a few seminars…

Prix Le Monde Jeune Economiste 2011

Posted in Books, University life with tags , , , , on May 29, 2011 by xi'an

Each year, Le Monde nominates a French economist for its Jeune Economiste Prize. The past winners are

(Some of those recipients are or were researchers at CREST. And Elyès is my colleague in Paris-Dauphine. When he is not minister in Tunisia!) The 2011 winner is Xavier Gabaix, who is professor of economics at NUY. I know nothing of his research and of its impact on Economics, nor do I want to to criticise the 2011 prize in any respect, however in a fairly bland and uninformative interview with Le Monde, Xavier Gabaix focused on the Zipf laws (connected with the Benford law I mentioned a while ago about the Iranian elections):

Pour la théorie économique classique, les phénomènes économiques se distribuent selon une courbe de Gauss (en cloche), et la modélisation raisonne généralement à partir de moyennes, d’agrégats. Or, la recherche a montré que, dans des domaines très variés, la distribution des objets, par exemple par rang de taille pour les villes ou par fréquence d’occurrence pour les mots d’un texte, obéit à des lois mathématiques comme les lois de Zipf, du nom du linguiste qui les a mises en évidence. Dans un article de Nature paru en 2003 et écrit avec des physiciens, j’ai montré que la fréquence des baisses boursières atteignant certains seuils (10 %, 20 %, 30 %) obéissait à la même loi mathématique que la fréquence des séismes… L’observation du volume de transactions boursières, de la taille des firmes, des évolutions de la croissance, permet également de déceler de telles lois de distribution.

which google-translates as

In classical economic theory, economic phenomena are distributed according to a Gaussian (bell) distribution, and modeling reasons usually based on averages and aggregates. However, research has shown that in various fields, the distribution of objects, for example in the size ranks of cities or in the frequency of occurrence of words in a text, obeys mathematical laws such as the Zipf laws, named after the linguist who has identified them. In a Nature paper published in 2003 and written with physicists, I showed that the frequency of stock market declines reaching certain thresholds (10%, 20%, 30%) obey the same mathematical law as the frequency of earthquakes .. . The observation of the volume of stock transactions, the size of firms, changes in growth, can also identify such distributions.

This somehow reminds me of the criticisms on the normal/Gaussian distribution in Nassim Taleb’s (outrageous) Black Swan. I would think the same type of criticism applies here: The interview mentions the fact that a few actors have a considerable impact on financial markets. This kind of observation applies to  an extreme value phenomenon. hence a particularly-difficult-to-estimate statistical problem. Especially given the lack of stationarity on those financial markets…

About induction, deduction, and transduction

Posted in Statistics with tags , , , , , , , on March 10, 2010 by xi'an

I have noticed a new posting by Ya’acov Ritov on arXiv that discusses what the limits of the scope of Statistics should be:

“The paper argues that a part of the current statistical discussion is not based on the standard firm foundations of the field. Among the examples we consider are prediction into the future, semi-supervised classification, and causality inference based on observational data.”

I do not have currently enough free time to read it at a detailed enough level to make a sensible comment, but this sounds like an interesting discussion! At this stage, I cannot decide whether this is yet again a point about model shifts or if there is a more fundamental issue at stake. (Thankfully, Popper is not mentioned! But Taleb is…) It seems however that the paper claims that prediction about a single object is not statistically valid:

“We believe that predicting the future, that is, predicting one most important future event, is not a statistical task.

and thus that statistics requires a long sequence of experiments to achieve validation, hence falling upon a frequentist justification…