https://juraj.npub.pro/tag/nonlinear/ https://juraj.npub.pro/tag/nonlinear/rss/ episodic Tue, 01 Oct 2024 09:42:00 GMT Tue, 01 Oct 2024 09:42:00 GMT https://juraj.npub.pro/tag/nonlinear/ https://juraj.bednar.io/assets/socials/profile.jpg?a Tue, 01 Oct 2024 09:42:00 GMT https://juraj.npub.pro/post/note17kc8ennc2tnk6deqffhu68f0ky4m83ankcjj432mqnwfvlesu8cs3wce4t/ https://juraj.npub.pro/post/note17kc8ennc2tnk6deqffhu68f0ky4m83ankcjj432mqnwfvlesu8cs3wce4t/ note17kc8ennc2tnk6deqffhu68f0ky4m83ankcjj432mqnwfvlesu8cs3wce4t blackswan note17kc8ennc2tnk6deqffhu68f0ky4m83ankcjj432mqnwfvlesu8cs3wce4t npub1m2mvvpjugwdehtaskrcl7ksvdqnnhnjur9v6g9v266nss504q7mqvlr8p9 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)

]]> 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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