The statistics that we normally use, standard deviation, skew, and kurtosis, are all highly sensitive to outliers. There sensitivity comes from their using high powers of a deviation. If there are are couple of outliers, the contribution pull everything. With L-Moments, only the first order of the data is used so it is not so sensitive to outliers. From Wikipedia,http://en.wikipedia.org/wiki/L-moment Has anyone tried using L-Moments with market data?