Seeking Risk: The Fab Rick Show

The Science of Risk

Jun 30, 2023
Jean-Philippe Bouchaud, expert in combining physics and finance, discusses disciplined applications for random matrix theory, scenario generation with agent-based models, and lost decades. They explore the challenges of measuring correlations, the use of shrinkage methods and random matrix theory. They highlight the importance of agent-based models in understanding complex systems in fields like traffic flow and financial markets. They delve into risk in financial markets, including fat tails in distribution, stylized facts, and limitations of a physics-based approach. They also discuss modeling the world, examining collective effects and cognitive biases, and analyzing risk through a historical lens.
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