Does anyone who follows me understand the math behind this statement? @gsvigruha ?https://twitter.com/nntaleb/status/1084472672208207873 …
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The formula is in Talebs thread i linked above. Its a bit complex, you derive it from the formula of the gaussian distribition plus the definition of correlation. I didnt double check his math btw.
Thanks. Twitter will use this to make your timeline better. UndoUndo
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