Standard economic theory makes an allowance for the agency problem, but not the compounding of moral hazard in the presence of informational opacity, particularly in what concerns high-impact events in fat tailed domains (under slow convergence for the law of large numbers). Nor did it look at...

In the presence of a layer of metaprobabilities (from uncertainty concerning the parameters), the asymptotic tail exponent corresponds to the lowest possible tail exponent regardless of its probability. The problem explains "Black Swan" effects, i.e., why measurements tend to chronically...

Ex ante forecast outcomes should be interpreted as counterfactuals (potential histories), with errors as the spread between outcomes. Reapplying measurements of uncertainty about the estimation errors of the estimation errors of an estimation leads to branching counterfactuals. Such recursions...

We provide a mathematical definition of fragility and antifragility as negative or positive sensitivity to a semi-measure of dispersion and volatility (a variant of negative or positive "vega") and examine the link to nonlinear effects. We integrate model error (and biases) into the fragile or...

This paper presents a simple heuristic measure of tail risk, which is applied to individual bank stress tests and to public debt. Stress testing can be seen as a first order test of the level of potential negative outcomes in response to tail shocks. However, the results of stress testing can be...

This paper presents a simple heuristic measure of tail risk, which is applied to individual bank stress tests and to public debt. Stress testing can be seen as a first order test of the level of potential negative outcomes in response to tail shocks. However, the results of stress testing can be...

This paper presents a simple heuristic measure of tail risk, which is applied to individual bank stress tests and to public debt. Stress testing can be seen as a first order test of the level of potential negative outcomes in response to tail shocks. However, the results of stress testing can be...

This paper presents a simple heuristic measure of tail risk, which is applied to individual bank stress tests and to public debt. Stress testing can be seen as a first order test of the level of potential negative outcomes in response to tail shocks. However, the results of stress testing can be...

Where the problem is not expert underestimation of randomness, but more: the tools themselves used in regression analyses and similar methods underestimate fat tails, hence the randomness in the data. We should avoid imparting psychological explanations to errors in the use of statistical methods

We provide an alternative method for analysis of multifractal properties of time series. The new approach takes into account the behaviour of the whole multifractal profile of the generalized Hurst exponent $h(q)$ for all moment orders $q$, not limited only to the edge values of $h(q)$...