Climate scientists--among others--have made similar recommendations to use the absolute mean error in place of the standard deviation, depending on the application. Taleb might have cited the extensive methodological literature--for example:

Cort J. Willmott, Kenji Matsuuraa, Scott M. Robeson. Ambiguities inherent in sums-of-squares-based error statistics. Atmospheric Environment 43 (2009) 749–752.

URL: http://climate.geog.udel.edu/~climate/publication_html/Pdf/W...