Forums  > Books & Papers  > Ed Thorp's "A Man for All Markets"  
     
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rod


Total Posts: 362
Joined: Nov 2006
 
Posted: 2016-12-04 21:27
Edward O. Thorp has written a new book: A Man for All Markets, "the incredible true story of Edward Thorp, the card-counting mathematics professor who taught the world how to beat the dealer, invented the first wearable computer, and started a revolution on Wall Street."



Available on Amazon on January 24, 2017, apparently. I am starting this thread so that NP'ers can post their reviews here, if they so desire. At least one NP'er has already posted a review on Amazon.

Scotty


Total Posts: 721
Joined: Jun 2004
 
Posted: 2016-12-13 01:32
A guess that will be Aaron.

[edit]

Ahhh, yes.

“Whatever you do, or dream you can, begin it. Boldness has genius and power and magic in it.”

finanzmaster


Total Posts: 118
Joined: Feb 2011
 
Posted: 2016-12-25 10:47
Wow, the Godfather of quants is back!
Unfortunately the TOC is not available on Amazon.

I will buy this book if there are answers to two questions of mine:
1. How exactly Thorp used the Kelly criterion to beat the market in context of the multivariate portfolio. He wrote something how to deal with a stock index (univariate case) but, to my knowledge, he never wrote anything concrete about the multivariate case.
2. Why he had to close his fund (I read something about legal issues, Thorp himself meant that his StatArb approach began to deteriorate since it was discovered by other market players as well).

------------------------
Apropos 1, I once emailed to William Ziemba and asked him to have a look on my paper on Kelly criterion.
Ziemba criticized it hard (without really reading it) because "I cut tails" in my approach.
(http://nuclearphynance.com/Show%20Post.aspx?PostIDKey=170305)
I pointed out that "Prof. Thorp himself cuts the tails (s. e.g. The Kelly Criterion And The Stock Market by Thorp and Rotando, 1992)". I put Thorp in CC and he read it (or at least opened it; I got reading confirmation) but did not reacted.
And know the foreword is written by Nassim Taleb, a tail-cutter N1 :)

www.yetanotherquant.com - Knowledge rather than Hope: A Book for Retail Investors and Mathematical Finance Students

chiral3
Founding Member

Total Posts: 4985
Joined: Mar 2004
 
Posted: 2017-01-24 22:23
This showed up this week. I had forgotten about it. I notice two things immediately:

1) Foreword by NNT. Blurbs on the back from Mezrich and Dilldot. These are bad omens. Nowhere to go but up from here.
2) Pic of the wearable computer. This thing has a solenoid or a battery and looks like a bomb. I keep telling kids that the tinkerer has died. Hacker (modern def) \= tinkerer. I took apart my parent's microwaves to see how they worked. It made me curious and no doubt contributed to physics degrees alter in life. Half the stuff I did as a kid would result in a call to the police today. The other half would result in arrest.

Nonius is Satoshi Nakamoto. 物の哀れ

agentq


Total Posts: 24
Joined: Jul 2008
 
Posted: 2017-01-25 07:36
My copy just arrived! If I can stay awake on the train ride to the office, will report back with my thoughts in a few days Santa Claus

qual


Total Posts: 2
Joined: Dec 2015
 
Posted: 2017-01-27 17:44
I just finished it. Not as good as I expected.

The first quarter of the book is about Thorp's childhood/early academic career. I expected this to be boring, but it was actually pretty entertaining. The best anecdote was that when he was wondering whether or not roulette was beatable, he asked Richard Feynman, who told him it probably wasn't. This convinced Thorp to try.

Second quarter: lots about card-counting and advantage gambling. Pretty good, but most of the stories have been written elsewhere.

Third quarter: Princeton-Newport Partners. I really wanted this to be good, but he's pretty vague about strategies (other than that he was basically using Black-Scholes, that markets didn't get efficient as fast as he expected, that Japanese warrants were mispriced/lucrative for a really long time). Books about Drexel/Milken will give you more detail on why PNP shut down. Like a lot of the other Milken-related prosecutions, it was more about technical violations like stock parking than about insider trading.

Final quarter: there are a bunch of miscellaneous chapters about things like compound interest and income inequality. I didn't get a lot of value out of these.

chiral3
Founding Member

Total Posts: 4985
Joined: Mar 2004
 
Posted: 2017-01-27 18:51
I liked the juxtaposition of NNT's foreword specifically referring to Thorp as humble and the first chapter Thorp talking about his first memories of being 1 year old and being smarter than everyone.

Nonius is Satoshi Nakamoto. 物の哀れ

rod


Total Posts: 362
Joined: Nov 2006
 
Posted: 2017-01-28 00:30
Thorp was recently on NPR:

The house always wins. Then he came along (January 13, 2017)

Professor Blackjack (January 20, 2017)

Rashomon


Total Posts: 166
Joined: Mar 2011
 
Posted: 2017-01-28 21:36
qual: recs on Drexel/Milken?

Chiral3: lol

NIP247


Total Posts: 539
Joined: Feb 2005
 
Posted: 2017-02-07 13:19
On the theme of Beating the Dealer, here's a story of Beating the Slot Machine...

On your straddle, done on the puts, working the calls...

jslade


Total Posts: 1064
Joined: Feb 2007
 
Posted: 2017-02-07 22:11
FWIIW his website is a treasure; lots of great papers and e-copies of his old books:

http://www.edwardothorp.com/articles/

"Learning, n. The kind of ignorance distinguishing the studious."

Nonius
Founding Member
Nonius Unbound
Total Posts: 12666
Joined: Mar 2004
 
Posted: 2017-03-05 01:15
'I liked the juxtaposition of NNT's foreword specifically referring to Thorp as humble and the first chapter Thorp talking about his first memories of being 1 year old and being smarter than everyone.'

Hahaha Thorp might be a lot of things but being humble definitely ain't one of them.

Chiral is Tyler Durden

Hansi


Total Posts: 296
Joined: Mar 2010
 
Posted: 2017-03-05 12:42
"Hahaha Thorp might be a lot of things but being humble definitely ain't one of them."

Well you have to take into consideration that it's Taleb writing that it's all relative ;)
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