jm + deviation + volatility   1

Nassim Taleb: retire Standard Deviation
Use the mean absolute deviation [...] it corresponds to "real life" much better than the first—and to reality. In fact, whenever people make decisions after being supplied with the standard deviation number, they act as if it were the expected mean deviation.'

Graydon Hoare in turn recommends the median absolute deviation. I prefer percentiles, anyway ;)
statistics  standard-deviation  stddev  maths  nassim-taleb  deviation  volatility  rmse  distributions 
january 2014 by jm

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