Taleb

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Finance Is Geometry, and It All Comes Back to Jensen’s Inequality Finance Is Geometry, and It All Comes Back to Jensen’s Inequality
37 min read Keywords:  Jensen's inequality, Kelly criterion, ergodicity economics, tail hedging, logarithms, Spitznagel, Taleb, Peters

Logarithms, Kelly, ergodicity, and tail risk meet at the same geometry: wealth compounds multiplicatively, the logarithm is concave, and Jensen’s inequality measures the cost of variability.

Detecting Crashes with Fat-Tail Statistics Detecting Crashes with Fat-Tail Statistics
39 min read Keywords:  fat tails, crash detection, LPPLS, extreme value theory, DFA, Hurst, Taleb, Sornette, Bouchaud, bitcoin, finance, rust, revenue, profit, momentum, volatility targeting

We built fatcrash, a Rust+Python toolkit with 15 crash detection methods: LPPLS, DFA, EVT, Hill, Kappa, Hurst, GSADF, momentum/reversal, price velocity, and more. Tested on 96 drawdowns across BTC, SPY, Gold, 23 forex pairs, and equity crises with honest precision/recall/F1 metrics. Plus: which methods transfer to revenue and profit data.

When Risk Models Create Risk When Risk Models Create Risk
12 min read Keywords:  Daníelsson, endogenous risk, VaR, systemic risk, risk models, monoculture, macroprudential regulation, Taleb, Minsky, financial stability

The last essay said the tail is too hard to measure. Jón Daníelsson goes one step further: in finance, the measurement itself changes the thing measured. When everyone uses the same risk model, the model becomes a synchronization device. The answer is a system designed to survive without everyone trusting the same number.

The Limits of Knowing The Limits of Knowing
10 min read Keywords:  Taleb, fat tails, preasymptotics, errors on errors, extreme value theory, Embrechts, law of large numbers, robustness

Every method in this series rests on one number: how close a system sits to its edge. Nassim Taleb spent a career arguing that this is exactly the number you cannot trust. For fat-tailed systems the data needed to pin down the tail converges too slowly, and being honest about your uncertainty fattens the tail further. This is the counterpunch, and where it leaves us.