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Dragontail

Posted in Mountains, Travel, University life with tags , , , , , , on July 31, 2010 by xi'an

Before leaving for Vancouver, I just bough this pair of Garmont dragontail approach shoes. They will hopefully prove useful in the approach walk to the Smoke Bluffs in Squamish today, where I plan to go climbing with Julien (once again with a brand new 10mm Mammut rope), weather and shape (15 hours of travelling) permitting… And later on the trails in Yosemite (no climbing there, I am afraid!).

Actually, the flight to Vancouver was packed, which means I could not even open my macbook… So I looked instead at the translation of Introducing Monte Carlo Methods with R into French, read the Economist from start till end (with an interesting discussion on the impact of fast-speed trains on freight transportation!), slept, watched the incredible landscape of Greenland with its immense icefields and deep red striated rock formations, and started an Icelandic crime novel. Plus talked with my neighbour of arithmetic Monte Carlo as  I saw him proving a theorem about commutative algebra: he happened to be a professor in computer science at the University of Victoria. The Bose earphones did marvel to cancel the engine noise in the plane, if not the screams of the kids in the next row…

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Of abridged black swans

Posted in Books, Statistics with tags , on February 16, 2009 by xi'an

There is a piece in The Economist special report on the future of finance (January 24h 2009) that could save you reading the whole The Black Swan book. It summarises so nicely and crisply the book while never ever mentioning it that I suspect it could have been written by the author. (The Economist has the interesting rule that papers are never authored so this leaves the theory open.) If you have already read the book, you can start looking for similarities, starting from the title “In Plato’s cave”, and identical sentences that support my claim. If not, it is much easier reading than the book… (The only fact going against my theory is that Nassim Taleb is mentioned neither in the sources and acknowledgements of the report nor in the references. Or maybe not since the acknowledgement starts with “The author would like to express…” Some readers of the paper seem to think the author is Emmanuel Derman, but then, why would he mention “black swans”..?!)

The criticisms presented there are basically the same as in The Black Swan, focussing on the inadequacy of the Gaussian distribution, of Brownian motion and of the Black-Scholes formula, with a new link to the mortgage crisis. It again argues for using fat tail distributions with no moment. As a probabilist marginalia, the paper contains the graph reproduced here as an illustration, which wins the day as a bad graph, since those two probability densities cannot sit on top of one another! A true clanger indeed!

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