The traditional Gaussian way of looking at the world begins by focusing on the ordinary, and then deals with exceptions or so-called outliers as ancillaries. But there is a second way, which takes the exceptional as a starting point and treats the ordinary as subordinate. I have emphasized that there are two varieties of randomness, qualitatively different, like air and water. One does not care about extremes; the other is severely impacted by them. One does not generate Black Swans; the other does. We cannot use the same techniques to discuss a gas as we would use with a liquid. And if we could, we wouldn’t call the approach “an approximation.” A gas does not “approximate” a liquid. We can make good use of the Gaussian approach in variables for which there is a rational reason for the largest not to be too far away from the average. If there is gravity pulling numbers down, or if there are physical limitations preventing very large observations, we end up in Mediocristan. If there are strong forces of equilibrium bringing things back rather rapidly after conditions diverge from equilibrium, then again you can use the Gaussian approach. Otherwise, fuhgedaboudit. This is why much of economics is based on the notion of equilibrium: among other benefits, it allows you to treat economic phenomena as Gaussian.