Nassim Nicholas Taleb's Home Page

 

"My major hobby is teasing people who take themselves & the quality of their knowledge too seriously & those who don’t have the guts to sometimes say: I don’t know...." (You may not be able to change the world but can at least get some entertainment & make a living out of the epistemic arrogance of the human race).

The Black Swan on the NYT Bestseller list (8 weeks starting May 13) —whatever that means (not too glorious, given other books. But at the least this could be a vindication for every mistreated Black Swan hunting artist, entrepreneur or researcher, in addition to  Menodotus of Nicomedia, Sextus Empiricus, GLS Shackle, & other thinkers absent from the canon).

“You do something quite evil!” How I pull tricks on reviewers: BBC (Nikki Bedi).

PRESS. Book Reviews of The Black Swan (selection of “get the point” articles  from reviews covering >80 million readers so far):  Book Review of The Black Swan in the Wall Street Journal (David Shaywitz), Niall Ferguson (Sunday Telegraph & LA Times ), Roger Lowenstein in  Portfolio, The Economist, Business Standard (India) ,Short and Sweet in  TIME,  the Financial Times (John Kay),  The Guardian (Oliver Burkeman). More from  The Guardian. Also  Business Week,  Bloomberg, The Sunday Times (London), International Herald Tribune . Will Self in The Independent Great & honest bad review ,by a smart but angry reviewer: more from The Independent ; More Sunday Times (the economics editor). More London Times (Gabriel Rosenberg). Even more London Times (Science Editor). Surprisinly more London Times (5th review!) Even More London Times (6th)!  ECONOMIC TIMES (India Times), Sydney Morning Herald, bad review in The Telegraph, Good review in  The Telegraph . Minneapolis Star,   , Barron’s, The Irish Times , Canadian Fp, Business Day (SA),  New Scientist. Business World (India) , DNA (India), Jamaica Gleaner, , even the . Harvard Business Review, The Providence Journal, Management Today, Almada (Arabic) More Financial Times, More Surowiecki in  Wired and BookForum (many other treatments like the one by Malcolm Gladwell in the New Yorker, while flattering, put me in the wrong box --too much emphasis on the far less interesting, more limited –and rather boring --applications of my ideas to finance/economics, & less on the dynamics of historical events/philosophy of history, artistic success, technological luck, and general uncertainty in society. Please stop writing to me about it: it does not represent me. Finance is for philistines!). (Warm thanks to Dave Lull for tracking reviews).

BLOGS. Major description in*Nice Summary of my ideas.  Literary: Storytelling. Econophysics. Knackered Hack. Antilibrary in Bjorn Staerk. Joe Wikert (a publisher). A philosopher. A trader’s perspective Venture Capital Freakonomics Q&A. (Blogs are often more authentic than formal book reviews and less prone to imitation/contagion; you get true diversity).

MEDIA. (favorites):  NPR (lenghty).  today’s programme. Interview on PBS Lehrer Newshour here [60 sec. clip]. PRI Radio InterviewRobert Pollie, public radio. Colbert report. Tavis Smiley, Charlie Rose (TBA).

 

PodCasts. My favorite: very long, deep & scholarly: Econtalk. Shorter: Guardian.

 

FAKE REVIEWERS: Review by one person who either did not get the point or did not read the book or does not get the jokes (or a combination): Factual and Logical Mistakes in the  review by Gregg Easterbrook.  Logical & Empirical Mistakes & Misrepresentation of the ideas of the book  in Tyler Cowen’s review in  Slate. List of fake and dishonest reviewers (those who did not read the book).

Black Swan Debates/Critiques. Forthcoming: The American Statistical Association (5 statisticians confront me) and my reply, Global Association of Risk Professionals (2 risk managers), Critical Review. Report by Stansberry and Associates (S&A Digest) bio is factually wrong (nice try).


 The Black Swan: The Impact of the Highly Improbable: Amazon (US), Barnes and Noble (US), Amazon  (UK). Q& A with Random House & Penguin UK presenting the book.

 

“[...]a style that owes as much to Stephen Colbert as it does to Michel de Montaigne “ (WSJ), A Masterpiece” Chris Anderson, author of The Long Tail.   “Fearless ... in puncturing phony expertise… Read this book.” –Philip E. Tetlock, University of California, Berkeley, author of Expert Political Judgment.  “Had Nassim Taleb been born in any other period, he would have certainly been put to death”, Carine Chichereau, co-translator of TBS. “Brilliantly idiosyncratic” –Niall Ferguson....in a provocative, wide-ranging and amusing mode. A book that is both entertaining and difficult.”, Michael Crichton.

 Black Swan Glossary .

Odyssey Marine codenamed their shipwreck discovery “Black Swan” –Company Site.

 


* Notes and Remarks (old-style micro-essays & notes, not a blog) [Please, please, do not send me the list of typos in my drafts. Also please refrain from offering to “improve” my web site].

Public Lectures & Talks    Media Pictures 


Scientific Web-Book: Mathematical and Quantitative Notes and Discussions. A collection of my musings and lectures notes ranging from mathematical finance and gambling theory to computational epistemology. Anything technical and nonliterary goes there.


Professional Information

I will not discuss publicly my business activities –only my literary and technical ideas on the philosophy of chance uncertainty, & probability.  Except here of course.

 

Book Jacket Bio: NNT is an essayist, belletrist, & researcher only interested in one single topic, chance (particularly extreme & rare events, the “Black Swans” i.e. outliers); but it falls at the intersection of philosophy/epistemology (skepticism; knowledge about the dynamics of history; inferential claims), philosophy/ethics (stoicism facing random events; theories of nonhedonic happiness), mathematical sciences (probability theory, statistical physics), social science/finance (opacity & decision making under incomplete information), and cognitive science (the mental biases making us “fooled” by randomness). He mainly derives his intuitions from a 2-decade long and intense practice of derivatives trading (“nondull” activities with plenty of randomness).

                                                            

Academic & Teaching: Starting September 2007,  London Business School (visiting 3 months a year while living mostly in NY) : Professor of ... Marketing (sic!) & co-director of the Decision Science Laboratory (Black Swans are mainly positive “hits”). Dan Goldstein ( also Wiki) and I are starting the  “ecological uncertainty” project running a family of experiments on the intuition of randomness. On leave as the Dean’s Professor in the Sciences of Uncertainty University of Massachusetts at Amherst, Fellow & Adjunct Professor of Mathematics at the Courant Institute of Mathematical Sciences of New York University (since 1999), and affiliated faculty, Wharton School Financial Institutions Center. My most enjoyable teaching experience is the 2 –day seminar I co-teach with Paul Wilmott twice a year.

 

Trading/Finance: Currently Founder, Empirica LLC, which owns interests in hedge funds, and operates a research laboratory in London Empirica Laboratory Limited and a Hedging operation (no, it is not a “hedge fund” in the common accepted sense as the bulk of the business consists in portfolio protection packages. We only called it a HF in May-October 2001).  Was inducted in the Derivatives Strategy Derivatives Hall of Fame (Feb 2001). I was mostly a prop trader until 1993, then became more arbitrage oriented. I held positions of managing director and head trader at Union Bank of Switzerland, worldwide chief derivatives trader for currencies, commodities and non-dollar fixed income at CS-First Boston, chief currency derivatives trader for Banque Indosuez (age 25), Managing Director and worldwide head of financial option arbitrage at CIBC-Wood Gundy, derivatives arbitrage trader at Bankers Trust, proprietary trader at BNP-Paribas, as well as independent option market maker on the Chicago Mercantile Exchange (...).

 

Current Editorial Boards and Scientific Committees (that I remember): U.S. Secretary of Defense’s Cross-Disciplinary Highland Panel, Journal of Alternative Investments, Warsaw Institute of Psychology in Business, Université Paris-Dauphine DESS 203, etc. Current Corporate Boards: Centaurus Capital LP Alpha Fund, Centaurus Kappa Fund.

 

Education: includes an MBA from Wharton, and a Ph.D. from the University of Paris (Paris 9 Dauphine). The Ph.D. committee included: Hélyette Geman, Marco Avellaneda, Nicole Elkaroui, Dilip Madan, & Jacques Hamon.


Personal: I am originally from Amioun (also spelled Amyoun) (see photos) but, since 1895, we have not lived there outside of vacations; it is in the Greek Orthodox Levantine heartland (we are what Cavafy calls ellhnosurwn or, what people call less poetically the Antiochans --and I am a native French speaking Hellenosuron son of Jesuit educated French citizens to confuse matters). Grecosyrian Kings from Seleucus I Nicator to Pompey's annexation. Roman Emperors of Grecosyrian descent. Late Greek and Latin Authors of Grecosyrian Birth.


Literary Books

The Black Swan: The Impact of the Highly Improbable, 2007.

Fooled by Randomness: The Hidden Role of Chance in the Markets and Life, 2nd EditionAmazon(US), Barnes and Noble (US), Amazon (UK). Paperback: Random House, 2005, Penguin (UK) 2007. Hardcover: New York, and London: Thomson Texere, April 2004 (1st Ed. November 2001). Published in 19 languages. “One of the Smartest Books of all Time” (Fortune).

History has been extremely kind to the book: Of all the books published in 2001, it seems to be currently among the 2 or 3 highest selling ones, if not the highest (across all categories, fiction, nonfiction, etc.).

"This book is about luck perceived and disguised as nonluck (that is, skills), and randomness perceived and disguised as nonrandomness (that is, determinism). It manifests itself in the shape of the lucky fool, defined as a person who benefited from a disproportionate share of luck but attributes his success to some other, generally very precise, reason." FBR was initially written as short stories around series of fictional characters.  An irreverent introspective rumination on the deformations caused by randomness through literature, markets, philosophy, science, and mathematics. It made many readers feel better about their comparative fate.

Please note that it is not a finance book (or not directly so): it is about the role of Luck.  I do not learn from a variety of disciplines, say complex biophysics, sandpile theories or astrology and try to apply the ideas to an investment strategies. I just learned from my day job about the vicious role of uncertainty and how foolish I was dealing with randomness. There are plenty of finance books written by a variety of gurus for those looking for a recipe: This is a personal essay, a literary personal essay, nothing more, nothing else.

Translations (Contracts in 19 languages so far): German (Wiley VCH), Italian(Saggiatore), Portuguese (Brazil, Distribuidora Record), Russian (Zakarian), Japanese (Kawade Shobo), Korean, Mandarin (Taiwan, China Times Publishing House), Thai (A.R. Press), Mandarin-Simplified (Mainland, China Economic Publishing House), Spanish, Polish(Gdanskie Wydawnictwo Psychologiczne), Greek, French (Les Belles Lettres: I picked them instead of a more general publisher because of the other authors in the collection, such as Pseudo-Dionysius the Aeropagite, Hermes Trismegite, Libanius Antiochus, Lucian of Samosata). Also: Bulgarian, Romanian, Hungarian, Hebrew... Note that the book is considered to be in economics in the US, science in the UK, philosophy in Italy, & literary in Japan (the same translator as Joyce’s Finnegan’s Wake).


Recent Essays: Other related topics: 2007 Year-End Question on Edge –The Black Swan and Optimism. General: * Edge Foundation Yearly Question 2005, in John Brockman (ed.) . Homo Ludens or Homo Oeconomicus.  Manifesto with Benoit Mandelbrot in the FT page 1, page 2.  The Opiate of the Middle Class (no longer religion) Op-Ed on Terrorism in the New York Times (how the press distorts our mental probabilistic map) Also Op-Ed in the New York Times on the 9/11 Commission.  Op-Ed on Risk Gurus as Charlatans --  (with BenoĒt Mandelbrot). Article on Fractals and Roughness (in Italian, Il-Sole 24 Ore, with Mandelbrot). Op Ed in An-Nahar  (Arabic). Letters to the Editor (on a variety of subjects). See the Edge/Third Culture Presentation/Video summarizing my ideas.


Nonliterary Books & Works

 

Dynamic Hedging: Managing Vanilla and Exotic Options , New York : Wiley (c. 506 pp., released Jan 2 1997). The book is about my own bottom-up approach to quantitative finance & risk management. I am aggressively no-nonsense, suspicious of theories (particularly those concocted by economists). It is the first step in my plan to help merge option "theory" and practice (which includes some non trivial modifications), leading to a clinical approach to stochastic processes. Here is a cartoon showing Dynamic Hedging as instrumental in the starting of a colorful and intense interoffice romance.  There is no scheduled second edition yet.

Once again, history has been kind to the book and the ideas presented in it –its 10th year has been the best.  It is mostly used by professional option traders in training programs, risk managers, and, on the occasion, mathematical finance students. Most academics (like this one, this one, & many more) who voiced criticism about my no-nonsense approach to risks of derivatives & disliked my intrusion into the reality of the process (how could a practitioner tell us how things should be done?) have had their works & ideas steadily gliding into the purest of  oblivions.


 

Recent Scientific and Philosophical Papers (articles accepted for publication since 2004)

Now that TBS is finished I have about 10 papers under revision, under review, etc. Too much but ...

           

Cognitive Science:* Statistical Intuitions and Domains (with Dan Goldstein).

Cognitive Science/Finance: * We Don't Quite Know What We Are Talking About When We Talk About Volatility (with Dan Goldstein) f.  Journal of Portfolio Management.*“Blowup” versus “Bleed”: What Does Empirical Psychology Say About the Preference For Negative Skewness? (Journal of Behavioral Finance, volume 5, 1, 2-7,2004).

Mathematical Sciences:*Statistics and rare events, f. The American Statistician, August 2007, Vol. 61, No. 3 * Scale-Invariance in Practice:  Some Questions and Workable Patches (under revision, Complexity –special issue on econophysics, Santa Fe Institute). * Mild vs. Wild Randomness: Focusing on those Risks that Matter (with Benoit Mandelbrot), in The Known, the Unknown and the Unknowable in Financial Institutions Frank Diebold, Neil Doherty, and Richard Herring, editors, Princeton: Princeton University Press, *The Illusion of Dynamic Replication (with Emanuel Derman), Quantitative Finance, volume 5, 4,2005,* Random Jump, Not Random Walk (With Benoit Mandelbrot), forthcoming * Mandelbrot Makes Sense Wilmott, February 2005*These Extreme Exceptions of Commodity Derivatives, Foreword to Helyette Geman’s Commodity Derivatives (Wiley, 2004) *On Skewness in Investment Choices, Greenwich Roundtable Quarterly, Volume 2, 2004.

 

Literary Journals: *Roots of Unfairness Literary Research/Recherche Litteraire (Journal of the International Comparative Literature Association) 21.41-42 (2005): 241-254 *The Black Swan and the Arts ARTE-SCIENZA Multidisciplinary Symposium, Roma, September 2004.

 

Philosophy/Epistemology: My central idea:*The A Priori Problem of Observed Probabilities,* Risk and Epistemology (with Avital Pilpel) Risk and Regulation (LSE)*I problemi epistemologici del risk management  in: Daniele Pace (a cura di) Economia del rischio. Antologia di scritti su rischio e decisione economica, Giuffré, Milano 2005 *On the Very Unfortunate Problem of Not Observing Probability Distributions )(with Avital Pilpel) an* Essay in the Epistemology of Power Laws (Wilmott, 2005), *See the reply by the philosopher of science Elie Ayache. More comments from Ayache.

Political Science/ Military/Security *“On the Risk of the Unforecastable and its Perception”, in Preventing Genocide: A Handbook for Foreign Policy Professionals, U.S. Holocaust Memorial Museum Publications, Spring 2005 * “The Black Swan: Why Don’t We Learn that We Don’t Learn?” , the United States Department of Defense Highlands Forum papers, February 2004 (Insightful comment on the extensions in the Washington Post (click here).


My Friends: Ariel Rubinstein (look at his café photo collection) “The Third Culture” (i.e. both literary and empirical) community of scientists-philosophers (and some of their friends); Rolf Dobelli, www.dobelli.com, Jochen Wegner Warumimerich; bookofjoe. Also my Transalpine friends at Finanzia Comportamentale.


You are welcome to send me an email at gamma [at] fooledbyrandomness [dotcom]. You would do me a favor if you waited until the end of the summer as I am not in an online mode and have 500 neglected letters in my inbox (so please just send mail for pressing matters). Concise messages are much preferable (say a maximum < 100 words). (There is a ten page letter I have had in my “to do” box since 2002). Note that I almost always reply, time permitting (but once) –even to nasty emails. However, note that I will be unable to answer specific trading and finance-related questions (my specialty is problems of the applications of probability and epistemic issues, not financial advice). Also note that, thanks to my new keyboard, I sometimes reply in Arabic, particularly to academics (which can be easily solved using Google Translator which captures about 35% of the meaning).