- Hardcover: 221 pages
- Publisher: Random House; 1st edition (October 1967)
- Language: English
- ISBN-10: 0394424395
- ISBN-13: 978-0394424392
- Product Dimensions: 9.3 x 6.4 x 1.1 inches
- Shipping Weight: 1.4 pounds
- Average Customer Review: 4.2 out of 5 stars See all reviews (8 customer reviews)
- Amazon Best Sellers Rank: #411,665 in Books (See Top 100 in Books)
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Beat the Market: A Scientific Stock Market System Hardcover – October, 1967
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Top Customer Reviews
Virtually unknown is the fact that years before, Thorp invented/discovered the formula that is attributed to Black-Scholes, with the exception of the risk-free interest rate factor, because of existing market structure that prevented interest from being a factor.
And Thorp's treatment of the Kelly Criterion makes this a standout work.
Since many have never read this book yet or tried to apply the principles that Thorp revealed in this book, it would be easy to dismiss this as some worn-out idea that has come and gone. Far from it. There is a reason that the few copies that were printed are still in demand.
The old saying is that those who can, do - while those who can't, teach. Thorp proved that he was the former.
If the principles from the book are understood the execution in different markets becomes apparent. In the last 20 years, I have applied the method in different forms in stocks, futures markets and LEAPS, with returns that exceeded the benchmarks stated in the book, with the same relative safety factors.
As long as there are people making investment decisions; who change their views as to whether a tradeable is cheap or dear, the opportunity for this method will remain infinite.
The concept IS the thing.
Still, a marvellous read. Pre-dates the Black-Scholes by five years, but in a replicating portfolio no-arbitrage method (which implies a lognormally distributed expected equity return) which Thorp then correctly pointed out was arbitrageable.
This book also serves as a curious filter rule. Those who read this and understand the old world and Thorp's method most likely can see current methods and models and break them down and differentiate them into tractable and fantasy. Credit structures who've relied on standard cash-flow and default probability metrics would have done well to start with Thorp to see how what they construct can be de-constructed by clever boots who see both the strengths of the original construct, and the copula methods and correlation assumptions in the structure (and its decay) to make arbitrage opportunities. In other words; if they read Thorp and "get it" they have a lower likelihood of being hoodwinked going forward.
Most Recent Customer Reviews
options are not for everyone, and a book written in 1967 is outdated.
the book was not a success, as it was never updated. Read more
Good Book--offered for free pdf -- on line
This is a good book--sort of a classic since it's written by thorpe--google search it and you can find a free pdf online
The framework of the one of the first hedge funds. Profiting from arbitrage which is very difficult today but was ingenious when this was written in 1967. Read morePublished on February 3, 2013 by Louis Ebner