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Nassim Nicholas Taleb's Bookcase

Nassim Nicholas Taleb (Arabic: نسيم نيقولا طالب‎‎, alternatively Nessim or Nissim, born 1960) is a Lebanese-American essayist, scholar, statistician, former trader, and risk analyst, whose work focuses on problems of randomness, probability, and uncertainty. His 2007 book The Black Swan was described in a review by the Sunday Times as one of the twelve most influential books since World War II.

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Critical Events in Complex Financial Systems

The scientific study of complex systems has transformed a wide range of disciplines in recent years, enabling researchers in both the natural and social sciences to model and predict phenomena as diverse as earthquakes, global warming, demographic patterns, financial crises, and the failure of materials. In this book, Didier Sornette boldly applies his varied experience in these areas to propose a simple, powerful, and general theory of how, why, and when stock markets crash.

Most attempts to explain market failures seek to pinpoint triggering mechanisms that occur hours, days, or weeks before the collapse. Sornette proposes a radically different view: the underlying cause can be sought months and even years before the abrupt, catastrophic event in the build-up of cooperative speculation, which often translates into an accelerating rise of the market price, otherwise known as a "bubble." Anchoring his sophisticated, step-by-step analysis in leading-edge physical and statistical modeling techniques, he unearths remarkable insights and some predictions--among them, that the "end of the growth era" will occur around 2050.

Sornette probes major historical precedents, from the decades-long "tulip mania" in the Netherlands that wilted suddenly in 1637 to the South Sea Bubble that ended with the first huge market crash in England in 1720, to the Great Crash of October 1929 and Black Monday in 1987, to cite just a few. He concludes that most explanations other than cooperative self-organization fail to account for the subtle bubbles by which the markets lay the groundwork for catastrophe.

Any investor or investment professional who seeks a genuine understanding of looming financial disasters should read this book. Physicists, geologists, biologists, economists, and others will welcome Why Stock Markets Crash as a highly original "scientific tale," as Sornette aptly puts it, of the exciting and sometimes fearsome--but no longer quite so unfathomable--world of stock markets.

Found via: Favobooks

The fourth edition of "Probability, Random Variables and Stochastic Processes" has been updated significantly from the previous edition, and it now includes co-author S. Unnikrishna Pillai of Polytechnic University. The book is intended for a senior/graduate level course in probability and is aimed at students in electrical engineering, math, and physics departments. The authors' approach is to develop the subject of probability theory and stochastic processes as a deductive discipline and to illustrate the theory with basic applications of engineering interest. Approximately 1/3 of the text is new material - this material maintains the style and spirit of previous editions. In order to bridge the gap between concepts and applications, a number of additional examples have been added for further clarity, as well as several new topics.

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For Insurance and Finance

"A reader's first impression on leafing through this book is of the large number of graphs and diagrams, used to illustrate shapes of distributions...and to show real data examples in various ways. A closer reading reveals a nice mix of theory and applications, with the copious graphical illustrations alluded to. Such a mixture is of course dear to the heart of the applied probabilist/statistician, and should impress even the most ardent theorists." --MATHEMATICAL REVIEWS

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Evidence and Probability before Pascal

How did we make reliable predictions before Pascal and Fermat's discovery of the mathematics of probability in 1654? What methods in law, science, commerce, philosophy, and logic helped us to get at the truth in cases where certainty was not attainable? In The Science of Conjecture, James Franklin examines how judges, witch inquisitors, and juries evaluated evidence; how scientists weighed reasons for and against scientific theories; and how merchants counted shipwrecks to determine insurance rates.

The Science of Conjecture provides a history of rational methods of dealing with uncertainty and explores the coming to consciousness of the human understanding of risk.

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This is the perfect (and essential) supplement for all econometrics classes--from a rigorous first undergraduate course, to a first master's, to a PhD course.

  • Explains what is going on in textbooks full of proofs and formulas
  • Offers intuition, skepticism, insights, humor, and practical advice (dos and don’ts)
  • Contains new chapters that cover instrumental variables and computational considerations
  • Includes additional information on GMM, nonparametrics, and an introduction to wavelets

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A Mathematical Adventure

In 2010, the French mathematician Cédric Villani received the Fields Medal, the most coveted prize in mathematics, in recognition of a proof that he devised with his close collaborator Clément Mouhot to explain one of the most surprising theories in classical physics. Birth of a Theorem is Villani's own account of the years leading up to the award. It invites readers inside the mind of a great mathematician as he wrestles with the most important work of his career.

But you don't have to understand nonlinear Landau damping to love Birth of a Theorem. It doesn't simplify or overexplain; rather, it invites readers into a collaboration. Villani's diaries, e-mails, and musings enmesh you in the process of discovery. You join him in unproductive lulls and late-night breakthroughs. You're privy to dining-hall conversations at the world's greatest research institutions. Villani shares his favorite songs, his love of manga, and the imaginative stories he tells his children. In mathematics, as in any creative work, it is the thinker's whole life that propels discovery--and with Birth of a Theorem, Cédric Villani welcomes you into his.

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Theory and Practice

This volume provides the definitive treatment of fortune's formula or the Kelly capital growth criterion as it is often called. The strategy is to maximize long run wealth of the investor by maximizing the period by period expected utility of wealth with a logarithmic utility function. Mathematical theorems show that only the log utility function maximizes asymptotic long run wealth and minimizes the expected time to arbitrary large goals. In general, the strategy is risky in the short term but as the number of bets increase, the Kelly bettor's wealth tends to be much larger than those with essentially different strategies. So most of the time, the Kelly bettor will have much more wealth than these other bettors but the Kelly strategy can lead to considerable losses a small percent of the time. There are ways to reduce this risk at the cost of lower expected final wealth using fractional Kelly strategies that blend the Kelly suggested wager with cash. The various classic reprinted papers and the new ones written specifically for this volume cover various aspects of the theory and practice of dynamic investing. Good and bad properties are discussed, as are fixed-mix and volatility induced growth strategies. The relationships with utility theory and the use of these ideas by great investors are featured.

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Economists, Dictators, and the Forgotten Rights of the Poor

Over the last century, global poverty has largely been viewed as a technical problem that merely requires the right “expert” solutions. Yet all too often, experts recommend solutions that fix immediate problems without addressing the systemic political factors that created them in the first place. Further, they produce an accidental collusion with “benevolent autocrats,” leaving dictators with yet more power to violate the rights of the poor.

In The Tyranny of Experts, economist William Easterly, bestselling author of The White Man’s Burden, traces the history of the fight against global poverty, showing not only how these tactics have trampled the individual freedom of the world’s poor, but how in doing so have suppressed a vital debate about an alternative approach to solving poverty: freedom. Presenting a wealth of cutting-edge economic research, Easterly argues that only a new model of development—one predicated on respect for the individual rights of people in developing countries, that understands that unchecked state power is the problem and not the solution —will be capable of ending global poverty once and for all.

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Whether we're buying a pair of jeans, ordering a cup of coffee, selecting a long-distance carrier, applying to college, choosing a doctor, or setting up a 401(k), everyday decisions—both big and small—have become increasingly complex due to the overwhelming abundance of choice with which we are presented.

As Americans, we assume that more choice means better options and greater satisfaction. But beware of excessive choice: choice overload can make you question the decisions you make before you even make them, it can set you up for unrealistically high expectations, and it can make you blame yourself for any and all failures. In the long run, this can lead to decision-making paralysis, anxiety, and perpetual stress. And, in a culture that tells us that there is no excuse for falling short of perfection when your options are limitless, too much choice can lead to clinical depression.

In The Paradox of Choice, Barry Schwartz explains at what point choice—the hallmark of individual freedom and self-determination that we so cherish—becomes detrimental to our psychological and emotional well-being. In accessible, engaging, and anecdotal prose, Schwartz shows how the dramatic explosion in choice—from the mundane to the profound challenges of balancing career, family, and individual needs—has paradoxically become a problem instead of a solution. Schwartz also shows how our obsession with choice encourages us to seek that which makes us feel worse.

By synthesizing current research in the social sciences, Schwartz makes the counter intuitive case that eliminating choices can greatly reduce the stress, anxiety, and busyness of our lives. He offers eleven practical steps on how to limit choices to a manageable number, have the discipline to focus on those that are important and ignore the rest, and ultimately derive greater satisfaction from the choices you have to make.

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Theory and Practice

This lively and engaging textbook explains the things you have to know in order to read empirical papers in the social and health sciences, as well as the techniques you need to build statistical models of your own. The author, David A. Freedman, explains the basic ideas of association and regression, and takes you through the current models that link these ideas to causality. The focus is on applications of linear models, including generalized least squares and two-stage least squares, with probits and logits for binary variables. The bootstrap is developed as a technique for estimating bias and computing standard errors. Careful attention is paid to the principles of statistical inference. There is background material on study design, bivariate regression, and matrix algebra. To develop technique, there are computer labs with sample computer programs. The book is rich in exercises, most with answers. Target audiences include advanced undergraduates and beginning graduate students in statistics, as well as students and professionals in the social and health sciences. The discussion in the book is organized around published studies, as are many of the exercises. Relevant journal articles are reprinted at the back of the book. Freedman makes a thorough appraisal of the statistical methods in these papers and in a variety of other examples. He illustrates the principles of modeling, and the pitfalls. The discussion shows you how to think about the critical issues - including the connection (or lack of it) between the statistical models and the real phenomena. Features of the book: • authoritative guidance from a well-known author with wide experience in teaching, research, and consulting • careful analysis of statistical issues in substantive applications • no-nonsense, direct style • versatile structure, enabling the text to be used as a text in a course, or read on its own • text that has been thoroughly class-tested at Berkeley • background material on regression and matrix algebra • plenty of exercises, most with solutions • extra material for instructors, including data sets and code for lab projects (available from Cambridge University Press) • many new exercises and examples • reorganized, restructured, and revised chapters to aid teaching and understanding

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Risk-taking, Gut Feelings and the Biology of Boom and Bust

A successful Wall Street trader turned Cambridge neuroscientist reveals the biology of boom and bust and how risk taking transforms our body chemistry, driving us to extremes of euphoria and risky behavior or stress and depression

The laws of financial boom and bust, it turns out, have more than a little to do with male hormones. In a series of groundbreaking experiments, Dr. John Coates identified a feedback loop between testosterone and success that dramatically lowers the fear of risk in men, especially younger men—significantly, the fear of risk is not reduced in women. Similarly, intense failure leads to a rise in levels of cortisol, the antitestosterone hormone that lowers the appetite for risk across an entire spectrum of decisions.

Coates had set out to prove what was already a strong intuition from his previous life: Before he became a world-class neuroscientist, Coates ran a derivatives desk in New York. As a successful trader on Wall Street, "the hour between dog and wolf" was the moment traders transformed-they would become revved up, exuberant risk takers, when flying high, or tentative, risk-averse creatures, when cowering from their losses. Coates understood instinctively that these dispositions were driven by body chemistry—and then he proved it.

The Hour Between Dog and Wolf expands on Coates's own research to offer lessons from the entire exploding new field—the biology of risk. He brings his research to life by telling a story of fictional traders who get caught up in a bubble and then a crash. As these traders place their bets and live with the results, Coates looks inside bodies to describe the physiology driving them into irrational exuberance and then pessimism. Risk concentrates the mind—and the body—like nothing else, altering our physiology in ways that have profound and lasting effects. What's more, biology shifts investors' risk preferences across the business cycle and can precipitate great change in the marketplace.

Though Coates's research concentrates on traders, his conclusions shed light on all types of high-pressure decision making-from the sports field to the battlefield. The Hour Between Dog and Wolf leaves us with a powerful recognition: To handle risk in a "highly evolved" way isn't a matter of mind over body; it's a matter of mind and body working together. We all have it in us to be transformed from dog into wolf; the only question is whether we can understand the causes and the consequences.

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Its Content, Methods and Meaning

Hailed by The New York Times Book Review as "nothing less than a major contribution to the scientific culture of this world," this major survey features the work of 18 outstanding mathematicians. Primary subjects include analytic geometry, algebra, ordinary and partial differential equations, the calculus of variations, functions of a complex variable, prime numbers, and theories of probability and functions. Other topics include linear and non-Euclidean geometry, topology, functional analysis, more. 1963 edition.

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With four elegant and beautifully crafted novels Julien Gracq has established himself as one of France's premier postwar novelists. A mysterious and retiring figure, Gracq characteristically refused the Goncourt, France's most distinguished literary prize, when it was awarded to him in 1951 for this book. As the latest work in the Twentieth-Century Continental Fiction Series, Gracq'a masterpiece is now available for the first time in English.

Set in a fictitious Mediterranean port city, The Opposing Shore is the first-person account of a young aristocrat sent to observe the activities of a naval base. The fort lies at the country's border; at its feet is the bay of Syrtes. Across the bay is territory of the enemy who has, for three hundred years, been at war with the narrator's countrymen; the battle has become a complex, tacit game in which no actions are taken and no peace declared. As the narrator comes to understand, everything depends upon a boundary, unseen but certain, separating the two sides. Besides the narrator there are two other main characters, the dark and laconic captain of the base and a woman whose compex relations to both sides of the war brings the narator deeper into the story's web.

For many French readers The Opposing Shore (published as Le rivage des Syrtes ), with its theme of transgressions and boundaries, spoke to the issue of defeat and the desire to fail: a paticularly sensitive motif in postwar French literature. But there is nothing about the novel tying it either to France or to the 1950s; in fact, Gracq's novel, with its elaborate, richly detailed prose, will be of greater interest now than at any point in the last twenty years.

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From Darwin to Munger

Peter Bevelin begins his fascinating book with Confucius' great wisdom: "A man who has committed a mistake and doesn't correct it, is committing another mistake." Seeking Wisdom is the result of Bevelin's learning about attaining wisdom. His quest for wisdom originated partly from making mistakes himself and observing those of others but also from the philosophy of super-investor and Berkshire Hathaway Vice Chairman Charles Munger. A man whose simplicity and clarity of thought was unequal to anything Bevelin had seen.

In addition to naturalist Charles Darwin and Munger, Bevelin cites an encyclopedic range of thinkers: from first-century BCE Roman poet Publius Terentius to Mark Twain-from Albert Einstein to Richard Feynman-from 16th Century French essayist Michel de Montaigne to Berkshire Hathaway Chairman Warren Buffett. In the book, he describes ideas and research findings from many different fields.

This book is for those who love the constant search for knowledge. It is in the spirit of Charles Munger, who says, "All I want to know is where I'm going to die so I'll never go there." There are roads that lead to unhappiness. An understanding of how and why we can "die" should help us avoid them. We can't eliminate mistakes, but we can prevent those that can really hurt us.

Using exemplars of clear thinking and attained wisdom, Bevelin focuses on how our thoughts are influenced, why we make misjudgments and tools to improve our thinking. Bevelin tackles such eternal questions as: Why do we behave like we do? What do we want out of life? What interferes with our goals?

Read and study this wonderful multidisciplinary exploration of wisdom. It may change the way you think and act in business and in life.

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The New Language of Science

Confronting us at every turn, flowing from every imaginable source, information defines our era--and yet what we don't know about it could--and does--fill a book. In this indispensable volume, a primer for the information age, Hans Christian von Baeyer presents a clear description of what information is, how concepts of its measurement, meaning, and transmission evolved, and what its ever-expanding presence portends for the future.

Information is poised to replace matter as the primary stuff of the universe, von Baeyer suggests; it will provide a new basic framework for describing and predicting reality in the twenty-first century. Despite its revolutionary premise, von Baeyer's book is written simply in a straightforward fashion, offering a wonderfully accessible introduction to classical and quantum information. Enlivened with anecdotes from the lives of philosophers, mathematicians, and scientists who have contributed significantly to the field, Information conducts readers from questions of subjectivity inherent in classical information to the blurring of distinctions between computers and what they measure or store in our quantum age. A great advance in our efforts to define and describe the nature of information, the book also marks an important step forward in our ability to exploit information--and, ultimately, to transform the nature of our relationship with the physical universe.

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Often likened to Kafka's The Castle, The Tartar Steppe is both a scathing critique of military life and a meditation on the human thirst for glory. It tells of young Giovanni Drogo, who is posted to a distant fort overlooking the vast Tartar steppe. Although not intending to stay, Giovanni suddenly finds that years have passed, as, almost without his noticing, he has come to share the others' wait for a foreign invasion that never happens. Over time the fort is downgraded and Giovanni's ambitions fade until the day the enemy begins massing on the desolate steppe...

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Philosophical and Practical Aphorisms

With fifty percent more material than the hardcover, this expanded edition of The Bed of Procrustes is a standalone book in Nassim Nicholas Taleb’s landmark Incerto series, an investigation of opacity, luck, uncertainty, probability, human error, risk, and decision-making in a world we don’t understand. The other books in the series are Fooled by Randomness, The Black Swan, and Antifragile.

By the author of the modern classic The Black Swan, this collection of aphorisms and meditations expresses his major ideas in ways you least expect.

The Bed of Procrustes takes its title from Greek mythology: the story of a man who made his visitors fit his bed to perfection by either stretching them or cutting their limbs. It represents Taleb’s view of modern civilization’s hubristic side effects—modifying humans to satisfy technology, blaming reality for not fitting economic models, inventing diseases to sell drugs, defining intelligence as what can be tested in a classroom, and convincing people that employment is not slavery.

Playful and irreverent, these aphorisms will surprise you by exposing self-delusions you have been living with but never recognized.

With a rare combination of pointed wit and potent wisdom, Taleb plows through human illusions, contrasting the classical values of courage, elegance, and erudition against the modern diseases of nerdiness, philistinism, and phoniness.

“Taleb’s crystalline nuggets of thought stand alone like esoteric poems.”—Financial Times

From the Trade Paperback edition.

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Found via: Ideal Bookshelf

A black swan is an event, positive or negative, that is deemed improbable yet causes massive consequences. In this groundbreaking and prophetic book, Taleb shows in a playful way that Black Swan events explain almost everything about our world, and yet we—especially the experts—are blind to them. In this second edition, Taleb has added a new essay, On Robustness and Fragility, which offers tools to navigate and exploit a Black Swan world.

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