Nassim Nicholas Taleb: Silent Risk Review (I)

by | Apr 3, 2016 | 0 comments

I have read most everything Nassim Nicholas Taleb has published. He is working on a new, more technical exposition to go along with his latest “Antifragile”. The draft of the book is called “Silent Risk” and is available on Taleb’s...
Ch-Ch-Ch-Ch-Changes: Detecting Multiple Changes

Ch-Ch-Ch-Ch-Changes: Detecting Multiple Changes

by | Feb 29, 2012 | 0 comments

In my previous post I looked at the problem of detecting a change in a randomly generated time series. At some point in the time series, the mean and/or the standard deviation used to generate the series makes a step-change. In this post I want to look at a more...
How To Detect Change in Time Series

How To Detect Change in Time Series

by | Feb 27, 2012 | 0 comments

I thought I would share some of the basics of how to detect change in time series in a couple or three posts. I have been working on the math behind my manager-monitoring services with the objective of making them more rigorous. Rather than just looking at the...
Strata of Monte Carlo

Strata of Monte Carlo

by | Dec 5, 2011 | 0 comments

This will be the final Monte Carlo related post for a while. Good job, really, I can’t keep coming up with titles! I am hoping this one will pull together some of the the themes nicely and show a really cool way of implementing MC integrations using a procedure...