Physicists who tried to outwit Wall Street…
In my French weekly edition of the New York Times, there was a paper with the above title. Plus “They Failed”. It mostly is about the story of Emmanuel Derman who wrote My Life as a Quant but it is also linked with Taleb’s Black Swan, obviously. The interesting part is that Derman acknowledges to have gone beyond the reasonable in the application of the financial models he used.So, in comparison with Taleb’s analysis, he is an insider that played the game rather than an outsider who watched the inevitable conclusion unfold (or this may be how Taleb wants to depict himself). I have had enough of books written by traders so do not expect a critical review of My Life as a Quant but it should be a different perspective than Taleb’s.
March 16, 2009 at 5:49 pm
You are right: Taleb wants to depict himself mainly as a market watcher. But that is not true: the guy owned a trading company! The mediocrous performance of his company should be compared with his alleged knowledge of “uncertainty dealing”.
There is only one real way to deal with uncertainty: Bayesian inference.