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The central limit theorem shows us that unimodal data with lots of independent sources of error tends towards a normal distribution. That description is a good first-pass, descriptive model for lots and lots of contexts, and standard deviation speaks well to normally distributed data.

Squaring error isn't just a convenient way to remove sign, it's driven by a lot of data-sets' conformance to the central limit theorem.



Thank you. I don't think it is intellectually honest for Taleb to omit this fact.




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