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dbt


Total Posts: 4
Joined: May 2020
 
Posted: 2020-05-22 19:23
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dbt


Total Posts: 4
Joined: May 2020
 
Posted: 2020-05-22 19:23
Have to chime in that I side with Cliff and tip my hat to him for speaking up.

Story time. One of my mentors from college helped develop a simplified pricing model, which became widely used. But like Fama, he was always well aware of the imperfections of the model assumptions and empirical properties of data.

Never mind that my mentor also broadened the appeal for jump-diffusion models to correct for fat tails, in recognition of the the original model's limitations. This was in 1976 - long before NNT somehow established himself as the flagbearer of the populist rebranding of fat tails. To this day, reading through some of these tweets, it seems NNT hasn't stopped with the misinformation campaign against him.

My view is limited because I haven't read any of NNT's books. But it seems from multiple accounts that NNT recycles the same template. Start a strawperson argument that some highly respectable individual blindly follows some naive model, then slander said person for a position that the person never held. With enough repetition, somehow the layperson becomes indoctrinated with the fictionalized version of events. Doesn't help that Asness, Gene Fama, my mentor, etc. are all respectable and helpful people who have a wide cross-section of publications that can be subject to this sort of creative misinterpretation. And they all have better time on their hands than to speak up to their detractors.

It's quite a shame too because I presume NNT was once, too, helpful in interfacing academia with practitioner wisdom.

ronin


Total Posts: 567
Joined: May 2006
 
Posted: 2020-05-24 19:41
It's hard to sympathise with either of them tbh.

It's the battle of the overweights.

In the red corner, Nassim Nicholas "Right Once Every Decade" Taleb.

In the blue corner, Clifford Cliff "We Crash When the S&P Crashes" Asness.

The final installment of this epic sage is expected to take place some time in the 2070s. The running title is "I told you so - no you didn't".

Riveting stuff.

"There is a SIX am?" -- Arthur
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