A Man for All Markets
Published in 2017 — the memoir of the mathematician who invented card counting, co-invented the first wearable computer, and then built one of the earliest and most successful quantitative hedge funds, decades before "quant" was a common word.
Start Reading — Chapter 1 →This Book Club's When Genius Failed shows what happens when quantitative sophistication meets uncontrolled leverage. Thorp's memoir is close to the opposite case study — a mathematician who applied the same probabilistic, edge-and-risk thinking to blackjack, roulette, and then markets, but built his entire career around strict position-sizing discipline specifically to avoid ruin, with results that held up for decades.
This course covers the book in four parts: how Thorp mathematically solved blackjack and proved a card-counting edge was real, his transition into market arbitrage and quantitative investing, the risk-management discipline (the Kelly criterion above all) that runs through every chapter of his career, and his own direct, insider account of the Bernie Madoff fraud and the 2008 crisis from a veteran quant's perspective.