Timeline for Taleb's Black-Swan: interpretation of the exponent
Current License: CC BY-SA 4.0
10 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Mar 11, 2021 at 0:56 | vote | accept | Philipp | ||
| Mar 11, 2021 at 0:56 | vote | accept | Philipp | ||
| Mar 11, 2021 at 0:56 | |||||
| Mar 11, 2021 at 0:56 | comment | added | Philipp | @Magicisinthechain, I figured out the formula. Please see my answer. If you plug in $a=1.1$ then you will more or less receive all the values which Taleb presents in table 3. However, I am not sure if Taleb had this formula in mind or if he was simply playing around with an excel spread sheet to produce some numbers. | |
| Mar 11, 2021 at 0:54 | answer | added | Philipp | timeline score: 4 | |
| Mar 10, 2021 at 23:44 | comment | added | Magic is in the chain | Thanks - this is power law, so not sure it work for discrete group of 60, doesn’t it reproduce Taleb’s table? | |
| Mar 10, 2021 at 23:41 | comment | added | Philipp | @Magicisinthechain, don't know where you got this formula from, but it's wrong. For sake of simplicity try for example $a=1.1$, a group of $100$ people and start doubling from a lowest salary, say $10$USD. You will quickly see that the share of the top $1$% is equal to $\approx 66$% whereas "your" formula yields $\approx 99.9$%. | |
| Mar 9, 2021 at 19:30 | vote | accept | Philipp | ||
| Mar 10, 2021 at 23:44 | |||||
| Mar 9, 2021 at 17:31 | comment | added | Magic is in the chain | Try this formula: ${\rm Share \, top\, }q=\frac{1}{\left(1-q\right)^{\frac{1}{a}-1}}$ where a is the exponent. Work only for $a>0$ so for the first entry please try a=1.00001 for example. | |
| Mar 9, 2021 at 6:53 | answer | added | Sergei Rodionov | timeline score: 2 | |
| Mar 8, 2021 at 16:24 | history | asked | Philipp | CC BY-SA 4.0 |