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by haliax 2762 days ago
The Kelly Criterion is the subject of an absolutely incredible book by William Poundstone called "Fortune's Formula".

In the course of discussing the formula, the book takes you through the birth of the MIT blackjack team, the genesis of statistical arbitrage, and mini biographies of people like Claude Shannon and Ed Thorpe. I can't recommend it highly enough.
1 comments
r00fus 2762 days ago
Don't forget the organized crime connection. It was an absolutely fascinating read.

My dad was a daytrader (read: armchair gambler) but this helped him curb his trading - he wasn't ready to do all the statistical analyses to keep rigorously investing.

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