Book: A Man for All Markets, From Las Vegas to Wall Street, How I Beat the Dealer and the Market
A Man for All Markets: From Las Vegas to Wall Street, How I Beat the Dealer and the Market by Edward O. Thorp.
Edward Thorp has does some amazing things. He invented card counting for the game of blackjack. He built, with Claude Shannon of all people, one of the world’s first wearable computers. That computer was used to beat roulette. He came up with Black-Scholes formula for pricing options before Black and Scholes. He ran for many years a very successful statistical arbitrage strategy before such arbitrage was on anyones radar.
This an autobiography which covers much of Thorps life. There are some pretty amazing scenes, like the time he asked Feynman whether roulette was beatable and Feynman said no. Thorp’s reaction was to then think he was definitely onto something (interesting Feynman’s student Hibbs, shortly after this encounter, exploited misbalanced roulette wheels to great success.) But I think what comes through most in all of this is how clear of a thinker Thorp is. The ideas he describe sound straightforward, I think, because he does an incredible job laying them out from a foundational perspective. This is a rare gift.
Another important part of this story is that Thorp gave up the life of an academic mathematician. (Here example of one of his papers). In the book he describes this transition. Even all these years later you can feel how much of a change this was for him, he had sort of always planned on being an academic. OK, I guess mostly it’s just that I can really relate to this transition, so it was good to read someone else’s thoughts through that journey.
Recommended for those whose first thought when encountering a game is to analyze it and those interested in the history of games and finance.