Mathematical definition, mapping, and detection of (anti)fragility¶
Taleb, N. N., & Douady, R. (2013). Mathematical definition, mapping, and detection of (anti)fragility. Quantitative Finance, 13(11), 1677-1689.
Cited by¶
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Primes¶
- Antifragility
- It separates three regimes along a single axis — the sign and curvature of a system's response to disorder — and names the positive-curvature regime in which the second derivative of payoff with respect to volatility is favorable.
This sourceDefines fragility/antifragility as negative/positive sensitivity to a measure of dispersion/volatility and supplies a single model-free 'fragility-detection' heuristic based on the local convexity (second derivative) of a payoff with respect to a source of variation, applied across substrates; supports markers 064, 065.
- It separates three regimes along a single axis — the sign and curvature of a system's response to disorder — and names the positive-curvature regime in which the second derivative of payoff with respect to volatility is favorable.
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