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2024-10-01 09:42:00

juraj on Nostr: From Raphael Douady: Did you hear about the "tail concentration effect"? When a ...

From Raphael Douady:

Did you hear about the "tail concentration effect"?

When a #blackswan shows up, everything goes wrong and correlations spike to 100%. In other words, any risk factor becomes a risk source.

Correlations are not stable at all, particularly under extreme events. You need proper models to handle it, starting with #nonlinear.

Nonlinearity is more important than multi-factor.

Comic by Stefan Gasic (highly recommended)





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