Why the S&P 500 is not Gaussian
I'm trying to keep up with Taleb's new technical book, but I have neither his background in trading nor mathematical rigor. In a previous life I was a physicist; they are notorious for skipping math steps based on intuition, expecting mathematicians will prove their intuition correct.
I may do some out loud thinking here, starting with a TL&DR of this chart.
The book Statistical Consequences of Fat Tails is here: https://www.academia.edu/37221402/STATISTICAL_CONSEQUENCES_OF_FAT_TAILS_TECHNICAL_INCERTO_COLLECTION_
First thing to understand is that there's hierarchy of statistical distributions, our high school friend Gaussian being near the friendly bottom.
Unless you understand the underlying process, like in some areas of physics, you can measure all you like, but you can't prove something is in the lower left. You can however *disprove* it, often with a single observation (after you check your instruments). Falsification at work.
As you disprove friendly distributions like Gaussian, you move up.
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