The Econophysics Blog

This blog is dedicated to exploring the application of quantiative tools from mathematics, physics, and other natural sciences to issues in finance, economics, and the social sciences. The focus of this blog will be on tools, methodology, and logic. This blog will also occasionally delve into philosophical issues surrounding quantitative finance and quantitative social science.

Monday, April 03, 2006

Mandelbrot & Taleb on "Wild Randomness" in the Financial Times

and recently co-wrote a piece for the Financial Times where they talk about what Mandelbrot has called "wild randomness" -- which puts more weight on extreme events than does "mild randomness" that we are accustomed to under the Gaussian / 'normal' distribution assumption. In a world of wild randomness, the so-called outliers become as (or are sometimes even more important) than more frequently occurring events because of the nature of fat-tailed, leptokurtic probability distributions and scalable power laws that are more likely to be representative of the true nature of most financial markets than the 'log-normal' distribution.

You can get the FT article (2 pages) at the following links:


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