Your above thesis is the foundation of the necessity to use RDBMS for developing and operating ATS's in markets. Elsewhere I pointed out that person A was using unfilled orders to do trading and I only use filled orders to do trading. Person A thinks he is correct. In fact, he is just as wrong as the persons he watches.
Just to get back to the OP's point about Taleb, here is a little about his ideas. ------------------------------------------------------------------------- Taleb said "I don't particularly care about the usual. If you want to get an idea of a friend's temperament, ethics, and personal elegance, you need to look at him under the tests of severe circumstances, not under the regular rosy glow of daily life. Can you assess the danger a criminal poses by examining only what he does on an ordinary day? Can we understand health without considering wild diseases and epidemics? Indeed the normal is often irrelevant. Almost everything in social life is produced by rare but consequential shocks and jumps; all the while almost everything studied about social life focuses on the "normal," particularly with "bell curve" methods of inference that tell you close to nothing. Why? Because the bell curve ignores large deviations, cannot handle them, yet makes us confident that we have tamed uncertainty. Its nickname in this book is GIF, Great Intellectual Fraud." More generally, decision theory, based on a fixed universe or a model of possible outcomes, ignores and minimizes the effect of events that are "outside model". For instance, a simple model of daily stock market returns may include extreme moves such as Black Monday (1987), but might not model the breakdown of markets following the 9/11 attacks. A fixed model considers the "known unknowns", but ignores the "unknown unknowns" (Donald Rumsfeld).[citation needed] Taleb notes that other distributions are not usable with precision, but often are more descriptive, such as the fractal, power law, or scalable distributions and that awareness of these might help to temper expectations.[13] Beyond this, he emphasizes that many events simply are without precedent, undercutting the basis of this type of reasoning altogether. Taleb also argues for the use of counterfactual reasoning when considering risk.[14][page needed][15]