January 1, 2020
A Man for All Markets: From Las Vegas to Wall Street, How I Beat the Dealer and the Market
Edward O. Thorp
A nice complement to The Man Who Solved the Market, this book traces the remarkable life of the original “quant” Ed Thorp. The first part of the book describes his childhood and his love for math and science, which eventually earned him a Ph.D. in math and an MIT post. He spent the 1960s literally writing the book on how to take on the casinos (Beat the Dealer) and the market (Beat the Market). It is particularly entertaining to read about Thorp and fellow MIT professor / “father of information theory” Claude Shannon tinkering with roulette equipment in Shannon’s basement and then the game of bridge with Warren Buffett in 1968. Thorp spent the next several decades developing option pricing theory and mastering hedged strategies, including convertible and statistical arbitrage, for his Princeton Newport and Ridgeline hedged funds. The book is highly recommended for those interested in the beginnings of the quant investing revolution.