fattails 0.0.3

A package for fat-tailed statistics

Fat Tails

Python package and Jupyter notebooks for fat-tailed statistics. Inspired by Nassim Taleb's Technical Incerto.

Content

Notebooks

See the notebooks/README.md for more detail.

My favourite notebooks so far:

• Central Limit Theorem: How the sum of Uniform values is Gaussian
• S&P500: How geometric average return is impossible
• GameStop: January 2021 was not an outlier if you assume Power Law tails.

Functions

Quick Access:

• fattails.mad(): Calculates mean absolute deviation. Other:
• fattails.metrics.get_survival_probability(): Calculate survival probabilities for a given dataset.

Example:

$ pip install fattails
$ python

>>> import fattails
>>>
>>>
>>> fattails.mad([1,2,3]) # Calculate Mean Absolute Deviation of [1,2,3]
0.6666666666666666
>>>
>>>
>>> fattails.metrics.get_survival_probability([1,2,3]) # Get survival probability for each value in your data
0    0.75
1    0.50
2    0.25
Name: survival_probability, dtype: float64

Derivations

• How much data do I need?

External Resources

Technical Incerto Book One:

• PDF on researchers.one
• PDF on arxiv.org
• Errata

More Links:

• Incerto Reading Club: Website, GitHub
• StatisticalConsequencesOfFatTails: Code and Links collected by Marcos Carreira