Thorp, Kelly, and the Collapse of Wall Street

[zengrifter]

HERE - Thorp, Kelly, and the Collapse of Wall Street

 

[sagefr0g]

"Thorp continued to play a leading role in the initiation of new financial investment methods. In 1974, he developed the first mathematical solution to the American "put curve."[*] In 1979, Thorp and his team at PNP came up with the idea of "statistical arbitrage." According to Thorp, their intent was to "use the Brownian motion structure of stock prices to 'drain energy' (money) from the ceaselessly excessive fluctuations in stock prices." "

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interesting sort of like some of the thinking behind the Parrondo Paradox.