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¶
1 citation across 1 artifact.
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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.
Supported in partVerified against the work's full text
The paper defines fragility, robustness and antifragility via sensitivity to volatility and ties convexity to antifragility, but uses a four-category map and says antifragility is not a single-axis mirror of fragility.
“Antifragility is not the simple opposite of fragility, as we saw in Table 1.”
- 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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