Sep

18

A Perspective on Quantitative Finance: Models for Beating the Market, Ed Thorp © 2003
Quantitative Finance Review

From the first section, on his card-counting research and successful play:

The relevance to finance proved to be considerable. First, it showed that the “gambling market” was, in finance theory language, inefficient (i.e. beatable); if that was so, why not the more complex financial markets? Second, it had a significant worldwide impact on the financial results of casinos. Although it did create a plague of hundreds and eventually thousands of new experts who extracted hundreds of millions from the casinos over the years, it also created a windfall of hundreds of thousands of hopefuls who, although improved, still didn’t play well enough to have an edge. Blackjack and the revenues from it surged.

(See Beat the Dealer for more detail on Thorp's blackjack strategies.)


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