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Startlingly, this great sceptic, this non-guru who believes in nothing, is still a practising Christian. He regards with some contempt the militant atheism movement led by Richard Dawkins.This is an interesting article - with, admittedly, a few odd hints, like that Taleb isn't entirely convinced of global warming - but I really like that quote. I've made several attempts to add a little editorialising on this, and I'm not happy with how any of them have come out. So, just read it and make up your own mind.
"Scientists don't know what they are talking about when they talk about religion. Religion has nothing to do with belief, and I don't believe it has any negative impact on people's lives outside of intolerance. Why do I go to church? It’s like asking, why did you marry that woman? You make up reasons, but it’s probably just smell. I love the smell of candles. It's an aesthetic thing.” (link)

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Besides, this is why I had trouble editorialising it. Anything I write down about it seems to either not convey what I'm thinking, or stray off the point I'm trying to make, which suggests I'm not sure what point I'm trying to make. I do think that to reduce religion to belief is incorrect, but you're probably equally right in saying that it's incorrect to say it's nothing to do with belief, too.
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I'm also reminded of Fred Hoyle's The Black Cloud, where the leader of the scientists in contact with the Cloud explains that people are fundamentally and necessarily irrational. We're capable of reason, but we can't live rationally, and any workable approach to life has to acknowledge this, implicitly or explicitly. Taleb's career as a trader required too much dedication to reason to allow this acknowledgement to be implicit, so he has had to work it into his life explicitly, like it or not.