Thoughts inspired by Nassim Taleb's 'Fooled by Randomness' and 'The Black Swan'

Nassim Taleb is a Wall Street trader who has written one technical book (‘Dynamic Hedging’, 1997) and two books for general audiences (‘Fooled by Randomness’ in 2001 and ‘The Black Swan’ in 2007a) on the impact of uncertainty—particularly about rare events—in various aspects of life, including history, finance and the arts. Taleb’s general points—about variation, randomness and selection bias—will be familiar with quantitative social scientists and also to readers of historians such as Niall Ferguson and A. J. P. Taylor and biologists such as Stephen J. Gould who have emphasized the roles of contingency and variation in creating the world we see. Selection bias is important in politics and the law (consider, e.g. the challenge of estimating the probability that the accused is guilty as charged, conditional on that person being brought to court) as well as various other domains such as education (as has been discussed by statistician Howard Wainer, among others) and even sport. (For example, sabermetrician Bill James challenged the conventional wisdom in baseball that players peak around age 30 by noting that older players have been subject to selection—the worst of them have already retired—and when looking at individual careers, he found that performance was best, on average, around age 27.) See Wainer et al. (1998) and Gelman & Nolan (2002, Section 10.2) for further examples. To a statistician such as myself, Taleb’s books are interesting not so much for their models, which are familiar to us. (For example, Taleb rails against the automatic use of the Gaussian (perhaps misnamed as ‘normal’) distribution, but we are aware that the Student’s t family, which can be interpreted as a scale mixture of Gaussians, can be used to model outliers.) What is interesting and fun about both books is the connections they make between statistical ideas and other aspects of life, as well as the sense of a practitioner discovering the relevance of various concepts of probability. I will honour the spirit of both books by giving my comment in scatter shot style, starting with the first book, ‘Fooled by Randomness’, whose cover features a blurb, ‘Named by Fortune one of the smartest books of all time’. But Taleb instructs us on page 161–162 to ignore book reviews because of selection bias (the mediocre reviews do not make it to the book cover).