Terry Gross interviewed Scott Patterson and Ed Thorp on NPR’s Fresh Air. I heard it yesterday. It was very interesting to listen to Thorp in particular, a mathematician, describing his curiosity about how to construct a system for beating various gambling games, and going from there to the stock market, in effect becoming one of the earliest of the “quants”,
Thorp and the people who use such systems have come to be known as “quants” — it’s a reference to the quantitative-analysis techniques they employ — and their stories are told in Scott Patterson’s new book The Quants: How a New Breed of Math Whizzes Conquered Wall Street and Nearly Destroyed It.
You can hear the interview here, and read an extract from the book. Very interesting are the questions about what they think really went wrong in the market crash of 2008, to what extent quants were to blame, and what lessons have been learned.
Worth a listen.