11 of 12 people found the following review helpful
No empirical evidence presented,
This review is from: The Black Swan: The Impact of the Highly Improbable (Paperback)
This is an interesting read and likely worth it. The main point is there are a lot of people in finance who have no clue about statistics.
One of the key points is that many financial markets follow power law distributions. I was disappointed to see that no empirical evidence is presented to support this. So I tested it myself. 108 years data of equity returns in 5 countries (the DMS data set). There is no evidence to suggest annual equity returns follow a power law distribution. A much better fit is achieved with exponential.
Best to check oneself; free data is available from yahoo; R statistics program is free online; the fExtremes packages quickly tests if data follows a power law distribution.
Very disappointing and left me suspecting the other unsupported arguments in the book are similarly flawed.