Seconded: this is a truly great book, as is William Poundstone's "Fortune's Forumla" which describes Kelly Criterion: perhaps the most influential equation in trading and gambling in the history of either.
Amusing in a grim way - he had a trading firm, two offices.
His own in Orange County California.
East Coast office went rogue, was raided by Feds. Thorpe shut down his side right afterward.
He published some of his trading methods in "Beat The Market", about trading warrants, which were more or less options issued by the companies themselves, instead of written by third parties.