Mathematical definition, mapping, and detection of (anti)fragility

  title={Mathematical definition, mapping, and detection of (anti)fragility},
  author={Nassim Nicholas Taleb and Raphael Douady},
  journal={Quantitative Finance},
  pages={1677 - 1689}
We provide a mathematical definition of fragility and antifragility as negative or positive sensitivity to a semi-measure of dispersion and volatility (a variant of negative or positive "vega") and examine the link to nonlinear effects. We integrate model error (and biases) into the fragile or antifragile context. Unlike risk, which is linked to psychological notions such as subjective preferences (hence cannot apply to a coffee cup) we offer a measure that is universal and concerns any object… 

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