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Author:
Publisher: Abrazol Publishing
ISBN: 1887187022
Category :
Languages : en
Pages :
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Book Description
Author:
Publisher: Abrazol Publishing
ISBN: 1887187022
Category :
Languages : en
Pages :
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Book Description
Author: Stefan Hollos
Publisher: Abrazol Publishing
ISBN: 9781887187015
Category : Business & Economics
Languages : en
Pages : 133
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Book Description
In 1956, a physicist named John Kelly working at Bell Labs published a paper titled "A New Interpretation of Information Rate." In the paper he draws an analogy between the outcomes of a gambling game and the transmission of symbols over a communications channel. For a positive expectation game, Kelly showed that a betting system based on a fixed fraction of the bankroll can make the bankroll grow at an exponential rate in the long run. The exponential growth rate in this case is directly analogous to the rate of information transmission through a communications channel. This book examines the Kelly system in detail. Applications of the Kelly system in both gambling and investing are considered. Python code for calculating the Kelly fractions for both a single stock investment and an investment in two stocks simultaneously is included. Included is an introductory review chapter on the probability theory needed to analyze gambling systems in general.There is also a chapter on some of the more commonly used gambling systems such as the Martingale system. This book will be useful for anyone interested in a good mathematical introduction to gambling systems in general, and the Kelly system in particular.
Author: William Poundstone
Publisher: Hill and Wang
ISBN: 0374707081
Category : Business & Economics
Languages : en
Pages : 399
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Book Description
In 1956, two Bell Labs scientists discovered the scientific formula for getting rich. One was mathematician Claude Shannon, neurotic father of our digital age, whose genius is ranked with Einstein's. The other was John L. Kelly Jr., a Texas-born, gun-toting physicist. Together they applied the science of information theory—the basis of computers and the Internet—to the problem of making as much money as possible, as fast as possible. Shannon and MIT mathematician Edward O. Thorp took the "Kelly formula" to Las Vegas. It worked. They realized that there was even more money to be made in the stock market. Thorp used the Kelly system with his phenomenally successful hedge fund, Princeton-Newport Partners. Shannon became a successful investor, too, topping even Warren Buffett's rate of return. Fortune's Formula traces how the Kelly formula sparked controversy even as it made fortunes at racetracks, casinos, and trading desks. It reveals the dark side of this alluring scheme, which is founded on exploiting an insider's edge. Shannon believed it was possible for a smart investor to beat the market—and William Poundstone's Fortune's Formula will convince you that he was right.
Author:
Publisher: Abrazol Publishing
ISBN: 1887187030
Category :
Languages : en
Pages : 187
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Book Description
Author: William Poundstone
Publisher: Macmillan
ISBN: 0809046377
Category : Business & Economics
Languages : en
Pages : 400
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Book Description
In 1961, MIT mathematics professor Ed Thorp made a small Vegas fortune by "counting cards"; his 1962 bestseller, "Beat the Dealer," made the phrase a household word. With Claude Shannon, the father of information theory, Thorp next conquered the roulette tables. In this prosaic but fascinating cultural history, the author of "How Would You Move Mt. Fuji?" tells not only what they did but how they did it.
Author: Joe Peta
Publisher: Penguin
ISBN: 0451415175
Category : Sports & Recreation
Languages : en
Pages : 386
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Book Description
An ex–Wall Street trader improved on Moneyball’s famed sabermetrics and beat the Vegas odds with his own betting methods. Here is the story of how Joe Peta turned fantasy baseball into a dream come true. Joe Peta turned his back on his Wall Street trading career to pursue an ingenious—and incredibly risky—dream. He would apply his risk-analysis skills to Major League Baseball, and treat the sport like the S&P 500. In Trading Bases, Peta takes us on his journey from the ballpark in San Francisco to the trading floors and baseball bars of New York and the sportsbooks of Las Vegas, telling the story of how he created a baseball “hedge fund” with an astounding 41 percent return in his first year. And he explains the unique methods he developed. Along the way, Peta provides insight into the Wall Street crisis he managed to escape: the fragility of the midnineties investment model; the disgraced former CEO of Lehman Brothers, who recruited Peta; and the high-adrenaline atmosphere where million-dollar sports-betting pools were common.
Author: Mohnish Pabrai
Publisher: John Wiley & Sons
ISBN: 1118044681
Category : Business & Economics
Languages : en
Pages : 215
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Book Description
A comprehensive value investing framework for the individual investor In a straightforward and accessible manner, The Dhandho Investor lays out the powerful framework of value investing. Written with the intelligent individual investor in mind, this comprehensive guide distills the Dhandho capital allocation framework of the business savvy Patels from India and presents how they can be applied successfully to the stock market. The Dhandho method expands on the groundbreaking principles of value investing expounded by Benjamin Graham, Warren Buffett, and Charlie Munger. Readers will be introduced to important value investing concepts such as "Heads, I win! Tails, I don't lose that much!," "Few Bets, Big Bets, Infrequent Bets," Abhimanyu's dilemma, and a detailed treatise on using the Kelly Formula to invest in undervalued stocks. Using a light, entertaining style, Pabrai lays out the Dhandho framework in an easy-to-use format. Any investor who adopts the framework is bound to improve on results and soundly beat the markets and most professionals.
Author: Justin Kuepper
Publisher: Sourcebooks, Inc.
ISBN: 1623155754
Category : Business & Economics
Languages : en
Pages : 297
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Book Description
All You'll Ever Need to Trade from Home When most people hear the term "day trader," they imagine the stock market floor packed with people yelling 'Buy' and 'Sell' - or someone who went for broke and ended up just that. These days, investing isn't just for the brilliant or the desperate—it's a smart and necessary move to ensure financial wellbeing. To the newcomer, day trading can be a confusing process: where do you begin, and how can you approach trading in a careful yet effective way? With Day Trading you'll get the basics, then: Learn the Truth About Trading Understand The Psychology of Trading Master Charting and Pattern-recognition Study Trading Options Establish Trading Strategies & Money Management Day Trading will let you make the most out of the free market from the comfort of your own computer.
Author: Nick Atkeson
Publisher: McGraw Hill Professional
ISBN: 0071812911
Category : Business & Economics
Languages : en
Pages : 288
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Book Description
A DISCIPLINED STRATEGY FOR AVOIDING MAJOR DOWN MARKETS AND PARTICIPATING IN BULLISH MARKETS Your financial advisor's strategy to buy-and-hold a diversified equity portfolio sounded good. Diversification promised to protect your wealth. Now, however, more than a decade of hard data shows it didn't work. And, more than likely after a decade of multiple financial shocks and crashes, your account balance is not what you hoped it would be when you started saving years ago. Much of your investment life has been spent just trying to make back what was lost. Win By Not Losing reveals how you can make smarter, more profi table investments by first protecting your capital from major bear equity markets. It also shows you how to identify major bullish equity market trends and guides you on how best to participate. By avoiding the major downs and catching the ups, your portfolio compounds gains and allows you to achieve your financial goals. Chasing returns leads to the poorhouse. With this book's disciplined system for knowing when to buy, what to buy, and when to sell, you can build and protect your portfolio through active management techniques. It walks you step-by-step through growing your portfolio in bull and bear market cycles. You will master a concrete investing method that lets you trade with emotionless confidence and precision. Packed with links to online resources and personal tips from successful, high-profile traders, Win By Not Losing gives you everything you need to: Identify the market metrics that are important to building wealth Detect and measure the market signals foreshadowing major moves Build a portfolio with strong downside protection, full transparency, immediate liquidity, low fees, and incredible risk-adjusted returns Your portfolio returns will continue to be disappointing unless you act. It's time to make up for lost profits by taking an active, professional, and nonemotional portfolio management approach to avoid major losses and capture gains. Win By Not Losing provides everything you need to build wealth in today's stock market. Stop watching your money rise and fall without signifi cant net gain with a "buy-and-hold" strategy and optimize your positions as market sentiment changes. In a nonappreciating market, investors must actively manage equities to acquire gains. Win By Not Losing presents an active approach that uses rigorous risk-management techniques to preserve your wealth and generate high returns in all equity market environments. Prominent authors and lecturers Nick Atkeson and Andrew Houghton have culled the best of their work to help you revitalize your trading habits, protect your capital, and beat the market. Through real-world stories demonstrating fi nancial theory in action and how-to instructions for executing their strategic investment approach, these expert authors enable you to: Achieve sizable returns through an investment strategy equally focused on when to invest and when to sell Avoid major down markets and fully benefit from major up markets Access unique financial information to help you stay current, think ahead, and build and protect your wealth Whether you're an independent investor or a professional financial advisor, this refreshing look at investing will change the way you see the markets. Forget what you know about modern portfolio theory and trade to make money in today's markets with Win By Not Losing. "Anyone with some experience in the stock market, especially the person who wants to move beyond a buy and hold strategy, can find useful tidbits in this book.” ReadingTheMarkets.com
Author: Chung-Han Hsieh
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
Kelly Betting is a prescription for optimal resource allocation among a sequence of gambles which are typically repeated in an independent and identically distributed manner. Within this setting, the theory is aimed at maximizing the expected value of the logarithmic growth of wealth. Many papers in the existing literature indicate that such a maximization leads to a number of desirable properties. These include [superior long-term growth of wealth, competitive optimality] and a certain [myopic property]. This betting scheme has also been criticized as being too aggressive with respect to various risk metrics. To address this, many papers suggest ad-hoc ways for scaling down the bet size. In our first collection of results, we provide a new perspective on this aggressiveness issue. That is, we show that in some cases, the Kelly optimum may actually lead to bets which are too conservative rather than too aggressive. To make this more precise, we provide a result which we call the [Restricted Betting Theorem]. Subsequently, we point out some additional negatives of the Kelly-based theory by quantifying what difficulties are encountered with various approximations which are used in some of the literature. Throughout this dissertation, we emphasize the feedback control system point of view and the ramification of our results in the context of stock trading. Following the initial results above, we report on our research aimed at improving the existing Kelly-based theory. Our second collection of results, which we call [Drawdown-Modulated Betting], is focused on mitigating the potentially large drawdown for a rather general class of betting schemes including the classical Kelly Betting scheme as special case. Motivated by the fact that this issue is of paramount concern from a risk management perspective, we prove a result, called the [Drawdown Modulation Lemma], which characterizes investment strategies guaranteeing that the percentage drawdown is no greater than a prespecified level for all sequences of admissible returns. With the aid of this lemma, we show that investment functions can be expressed as a linear time-varying feedback control parameterized by a feedback gain and leading to satisfaction of the drawdown specification. Subsequently, a generalization of the lemma to the portfolio setting is also provided. In addition, with the risk-reward pair being drawdown and expected return, we prove that the drawdown-modulated feedback strategy "dominates" the classical linear time-invariant (LTI) feedback strategy. In the parlance of finance, the LTI strategy is said to be [inefficient]. The third collection of results in this dissertation, called [Frequency-Based Betting], is focused on investigating how optimization and expected logarithmic growth performance vary with respect to betting frequency and on how our formulation and results apply to the stock market. Going beyond existing literature, in this part of the work, the [frequency], or equivalently the number of stages [n] between trades, is included as an additional optimization parameter in our analysis. For a single stock, in the absence of transaction costs, we show that high-frequency trading is [unbeatable] in the sense of expected logarithmic growth. Moreover, we prove that if a stock satisfies a certain"sufficient attractiveness" condition, then the buy-and-hold strategy with [n]> 1 can match the performance of the high-frequency strategy with [n] = 1. Subsequently, when we generalize the notion of sufficient attractiveness from the single-stock case to a portfolio with multiple risky assets, a similar result is obtained. One highlight in this part of the dissertation involves the notion of a "dominant asset" which we define. When such an asset is present in the portfolio, we prove that the optimal performance requires putting "all eggs in one basket." As a consequence, we see that the performance of the high-frequency trader is matched by that of the buy and holder. The final collection of results in this dissertation is motivated by the fact that a trader's interactions with the market are not instantaneous. This leads us to extend our frequency-based framework to include [delay] in trade execution. For the case when a single unit of delay is present, in contrast to existing literature on Kelly Betting, it turns out that bankruptcy is a distinct possibility. This leads to a problem formulation in which the no-bankruptcy issue is cast as a [state positivity] problem. Subsequently, we prove two theorems. The first theorem gives sufficient conditions for avoidance of bankruptcy and the second gives necessary conditions. Some other technical results regarding state positivity are given as enrichments to the theory; e.g., we provide an example which suggests that when delay is present, the buy-and-hold strategy can achieve strictly higher performance than high-frequency trading
