The recent The Atlantic article “The Man Who Broke Atlantic City” tells the story of Don Johnson who won millions of dollars in private room custom rules high stakes blackjack. The method Mr. Johnson reportedly used is, surprisingly, not card counting (as made famous by professor Edward O. Thorp in Beat the Dealer). It is instead likely an amazingly simple process I will call a martingale money pump. Naturally the Atlantic wouldn’t want to go into the math, but we can do that here.
Continue reading Betting with their money
Fast Portfolio re-Balancing as a Fractional Linear Program is an example of the kind of work we have done encoding client problems (in this case optimal portfolio selection) as optimization problems (so we can use purchased software to solve them). Its a bit mathy- but we are excited we got permission to share this. Continue reading Fast Portfolio re-Balancing as a Fractional Linear Program
While executing some statistical detective work for a client we had a major “aha!” moment and realized something like “Amdahl’s Law” rephrased in terms of probability would solve everything. We finished our work using direct methods and moved on. But it is an interesting question: what is the probabilist’s (or gambler’s) equivalent of Amdahl’s Law? Continue reading What is the gambler’s equivalent of Amdahl’s Law?
New paper: A Discrete Model Gauging Market Efficiency PDF
We highly recommend reading the PDF version, but please find below a HTML translation of the paper.
We follow up on some interesting work from the literature and explore some conditions that allow large predatory traders to dominate markets.
Continue reading A Discrete Model Gauging Market Efficiency
Betting Best of Series is a new expository paper describing the mathematics involved in betting on something like the United States’ Major League Baseball World Series. It isn’t so much about baseball as about demonstrating some of the really great ideas from mathematical finance in a simplified setting. This sort analysis is the “secret sauce” in a lot of financial models and I trying to share the thrilling feeling of working with these techniques in an elementary essay (with diagrams). Continue reading Betting Best-Of Series
author: John Mount
I have finally written up and released a paper in PDF: Automatic Generation and Testing of Trades describing a lot of the statistics and optimization methods used when I was technical trading on a Banc of America Securities proprietary program trading desk. It was a very exciting time.
Continue reading Paper on stock trading
author: John Mount
Nina and I just finished up our analysis of some of the statistical difficulties encountered by users of Google AdSense. It came out a bit long- but we found the right statistical reference to prove that there are real barriers to understanding in this market. The paper is most legible in PDF, but we also include an HTML version so the blog entry can be skimmed.
Continue reading New Paper