By Paul Wilmott
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- The Independent (23 October 2015)
- Fortune (1 February 2016)
- China's Financial Markets: Issues and Opportunities
- Comparing Financial Systems
Extra resources for The Best of Wilmott 1: Incorporating the Quantitative Finance Review
Example text
They calibrated a simple mathematical model to the experiments, to try to predict the moment when the spinning ball would fall into the waiting pockets. From their model they were able to predict any single number with a standard deviation of 10 pockets. This converts to a 44 per cent edge on a bet on a single number. Betting on a specific octant gave them a 43 per cent advantage. It is one thing to win on paper, or in the comfort of a basement. It is quite another to win inside a noisy casino. From November 1960 until June 1961, Ed and Shannon designed and built the world’s first wearable computer.
Ed’s response was that he could make a lot more doing something else, with the same effort, and with much nicer working conditions and a much higher class of people. Truer words were never spoken. Ed Thorp took his knowledge of probability, his scientific rigour and his money management skills to the biggest casino of them all, the stock market. On Thorp “Over the years, through Princeton Newport and through his recent ventures, Ed has shown that anomalies can be exploited and successfully traded.
Convertible hedgers collectively have made tens of billions of dollars over the last three and a half decades. Along the way we met a lot of interesting people: Names from the movie industry like Robert Evans, Paul Newman, and George C. Scott, Wall Streeters like Robert Rubin, Mike and Lowell Milken, and Warren Buffett, and academics like Nobelists Bill Sharpe, Myron Scholes, and Clive Granger. Here are some of the things we learned about building successful quantitative models in finance. Unlike blackjack and gambling games, you only have one history from which to use data (call this the Heraclitus principle: you can never invest in the same market twice).