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“Ed Thorpe’s Princeton Newport and its successor …” He’s been at it for decades. What did Ed figure out half a century ago? Btw, Ed’s a math guy also: https:
by melling 5y ago
“Ed Thorpe’s Princeton Newport and its successor …”
He’s been at it for decades. What did Ed figure out half a century ago?
Btw, Ed’s a math guy also:
https://en.m.wikipedia.org/wiki/Edward_O._Thorp https://en.m.wikipedia.org/wiki/Edward_O._Thorp
- AS37 5y agoBet sizing, maybe? It's certainly destroyed some big funds. https://en.wikipedia.org/wiki/Edward_O._Thorp#Bibliography https://en.wikipedia.org/wiki/Edward_O._Thorp#Bibliography
- auntienomen 5y agoThorpe didn't have much success in stat arb after Princeton Newport was broken up. TGS did. I'm not sure I'd credit Thorpe with whatever they were doing.
- cloudbonsai 5y agoThorp operated a small stat arb shop for a decade after P/NP, and IIRC it was quite successful (avg ~20% return with sharpe ratio > 1.5).
- deleted 5y ago[deleted]