“专业交易员悖论”的例证

F. Michel
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引用次数: 0

摘要

在本文中,我将说明参考文献中有关非遍历性与风险低估的论点。使用一个简单的玩具模型,我量化了忽略连续随机事件之间的相关性如何导致对极端情况稀缺性的错误信心。
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Illustration of the 'Professional Trader’s Paradox'
In this note I illustrate the argument of Reference relating non-ergodicity to an under-estimation of risks. Using a simple toy-model, I quantify how neglecting correlations between successive random events can lead to a false sense of confidence about the scarcity of extreme scenarios.
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