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Hello TraderNick,
Agreed.
I also bookmarked the bjmath site for the links it contains, while
ignoring the bj21 site.
I rate Dr Thorp highly (and also the company he keeps).
It is annoying to find so many trading commentators recycling the
same old stuff, that invariably originates from a few brilliant
thinkers.
It's good, for a change, to come across the work of one of the
seminal thinkers in money management, especially as the links provide
a copy of an *academic paper*, which hasn't found it's way into
commercial print.
I find it interesting that MM appears to have it's roots in game
theory.
While I don't agree word for word with his conclusions, I find the
Kelly Criterion article packed with important and/or interesting
points.
It is a pity that his comments on application to the market aren't a
little more conclusive.
While he doesn't provide all of the answers he does provide us with a
way in.
By the way, I'm going easy on the f*
Brian.
*Progress in knowledge results more from efforts to find faults with
our theories, rather than prove them*
Karl Popper.
--- In amibroker@xxxxxxxxxxxxxxx, Nick Busigin <nick@xxx> wrote:
>
> On Wed, 31 Jan 2007, brian.z123 wrote:
>
> > I recently stumbled over a download to some PDF files by Dr
Edward O
> > Thorp, mathematician and trader, that might interest some.
> > ...
> > http://www.arbtrading.com/kelly.htm
> >
> > or go to the homepage:
> >
> > http://www.arbtrading.com/index.htm
> >
> > >Money Management>Kelly Formula
> >
> >
> > Brian O:-) (The Saint)
>
> Thanks for the link Brian (The Saint). It looks like interesting
> reading and comes at a time when I am revisiting the topic of
position
> sizing.
>
> Another interesting site which I found from exploring the one you
> sent in is:
>
> http://www.bjmath.com/bjmath/feature.htm
>
> Nick
> --
>
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