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One of the well known papers on bet sizing was written 45 years ago. Know as
the Kelly Criterion it was published under the title "A New Interpretation of
Information Rate" by J. L. Kelly, Jr, in the The Bell System Technical
Journal, July 1956. An explanation of an a link to the actual article in PDF
format can be found at
http://horseracing.miningco.com/sports/horseracing/library/blkelly.htm
Putting "Kelly Criterion" into your search engine will bring up a number of
articles on the subject. Readability hint: Just replace any reference to
"horse" with "E-Mini trade" .
Charlie
> At 08:22 PM 1/31/01 -0800, David Pyle wrote:
> >Can someone recommend some reading on bet size. Preferably online.
> >
> >Dave Pyle
> >
> >DPyle96@xxxxxxxxxxxxx
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