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http://rapidshare.com/files/113381331/b1at_the_mark1t.pdf
Beat the Market: A Scientific Stock Market System
# Author:Edward O. Thorp
# Publisher: Random House
# Number Of Pages:
# Publication Date: 1967-10
# ISBN-10 / ASIN: 0394424395
# ISBN-13 / EAN: 9780394424392
The strategies in this wonderful book are only employable in Asia now, and in very limited ways (often insurance and bank stocks and bonds) but you take a lot of liquidity risk, so I'm not sure if you are still paid alpha over an expected return.
Still, a marvellous read. Pre-dates the Black-Scholes by five years, but in a replicating portfolio no-arbitrage method (which implies a lognormally distributed expected equity return) which Thorp then correctly pointed out was arbitrageable.
This book also serves as a curious filter rule. Those who read this and understand the old world and Thorp's method most likely can see current methods and models and break them down and differentiate them into tractable and fantasy. Credit structures who've relied on standard cash-flow and default probability metrics would have done well to start with Thorp to see how what they construct can be de-constructed by clever boots who see both the strengths of the original construct, and the copula methods and correlation assumptions in the structure (and its decay) to make arbitrage opportunities. In other words; if they read Thorp and "get it" they have a lower likelihood of being hoodwinked going forward.
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