Those of you with access to a radio this afternoon should tune into your local NPR station. Fresh Air is broadcasting a fantastic interview with Terry Gross and Ed Thorp, the former casino card counting genius who went on to become a famous quant trader and hedge funder.
Thorp discusses everything from his card counting past, to his days at MIT, to his opinion on the creation of asset-backed securities. Anyone interested in quant trading, derivatives, or probability should definitely give it a listen.
NPR: Thorp’s work revolutionised the game. But he went further: In 1967, Thorp devised a system that uses maths and computers to predict the future of the stock market. His hedge funds and his personal portfolio have been profitable ever since.
Thorp and the people who use such systems have come to be known as “quants” — it’s a reference to the quantitative-analysis techniques they employ — and their stories are told in Scott Patterson’s new book The Quants: How a New Breed of maths Whizzes Conquered Wall Street and Nearly Destroyed It.