The Adventures of a Modern Renaissance Academic in Investing and Gambling

<!-- <description> -->This book tells the story of how financial markets have evolved over time and became increasingly more complex. The author, a successful and experienced trader, who among other things won the 2015 battle of the quants futures contest held in New York, shares how one can navigate today's dangerous financial markets and be successful. Readers at all levels will benefit from his analysis and many real life examples and experiences. The coverage is broad and there is considerable discussion on ways to stay out of trouble, protect oneself and grow one's assets. The author was the first one to do turn of the year January effect trades in the futures markets starting in the beginning of S&P 500 futures trading in 1982. That has been successful and the author explains his ideas and experiences from the beginning in simple markets to the current, very complex markets we have in 2017.
The author discusses the various ways that traders and investors lose money in the financial markets. Many examples are provided, including Long Term Capital Management, ENRON, Amarath, Neiderhoffer's funds and many major companies such as Lehman Brothers, Society Generale, Saloman Brothers. This is invaluable to understanding ways to avoid such losses.
The author discusses great investors, their methods and evaluation and the authors' work with several of them. Risk arbitrage and mean reversion strategies are described through actual use. Asset-liability models for pension funds, insurance companies and other financial institutions devised by the author are described. The author uses racetrack bias ideas in behavorial finance in trading index futures and options. Large stock market crashes that can be predicted are discussed with several models of the author and others. Many mini crashes including the January-February 2016, Brexit, Trump and French elections that are plausible but largely unpredictable are described and how they were dealt with successfully.
Along with ways to deal with them, investment in top quality racehorses, oriental carpets, real estate and other interesting investments are covered. The author was instrumental in viewing racing as a stock market. The ideas are used by the top racing syndicates as well as hedge funds.
The book proceeds by weaving these aspects of the financial markets in the modern era into a story of the author's academic, professional and personal life. This is told through the people he met and worked with and the academic and personal travel he had all over the world this past half century. The text is simply written with details, sources and references in the notes of each chapter. Details of various important events and how they evolved are described. There are numerous color and black and white photos in the text plus graphs, tables etc. in the notes to tell the story. The teaching and research into various financial and gambling markets takes the reader to interesting places around the world. These include the US and its many stock market ups and downs, Japan when they were ruling the financial world and then they collapsed, the UK visits with lectures, teaching and research work at their great Universities including Cambridge and Oxford, Europe with many activities in France, Italy, Germany and other places, to Asia including discussions about travels to Persia, Turkey, Singapore, Korea, China, Afghanistan, Russia and other countries. Also discussed are visits to U.S. universities including Chicago, MIT, Berkeley, UCLA and Washington. His work with horse racing syndicates took him to Australia and Hong Kong. Crises like those in Greece, US housing and internet and the flash crash are discussed.
<!-- </description> -->Interview
On using the Kelly Criterion in gambling, Chat With Traders podcast: https://chatwithtraders.com/ep-137-dr-william-ziemba/
<!-- /remove -->Contents:Review QuotesAcknowledgmentsAbout the AuthorBeginningThe Early Days in Adams and at the University of Massachusetts in AmherstReminiscences of the Early Days in BerkeleyThe Start of a New Department in VancouverTravels on a Flying CarpetThe Canadian Sports Pool and a New Name, Dr Z, 1982Fortune's Formula: How the Pros WagerThe Invention of the Place and Show Betting SystemThe Turn-of-the-Year 1982/1983Testing the Dr Z System with Ed ThorpThe 2 Minute SprintSusquehannaWhat is Japan Doing Right to Get All that Money? Will They Lose It?The Bond–Stock Earnings Yield Crash Prediction ModelArbitrage and Risk ArbitrageBill Benter LetterScenario Optimization in Action — The Russell–Yasuda Kasai Financial Planning ModelAnomalies Research at Frank Russell, 1989–1998Risk Management and Planning in the Vienna Siemens Pension Model, InnoALMEvaluating the Greatest InvestorsHow to Lose Money in Derivatives and Some Who DidTrend Following in the BahamasThe Internet Bubble Crash, 2000–2002The US Housing Bubble, Credit Crisis, Crash and Recovery 2006 to 2015The Flash Crash and High Frequency TradingThe Greek Crisis and Why It is ImportantInefficiencies and Anomalies: Other Crashes and How They Fit the ModelsDealing with Madoff and Other SwindlersAn Adventure in the Bed and Breakfast Business, British Columbia Real Estate Over the YearsTwo Tries in the Horse Ownership BusinessTravels to Universities and Academic and Professional Conferences Over the YearsEpilogBibliographyIndex<!-- </contents> --><!-- <readership> -->
Readership: Investors, financial experts and researchers in the fields of finance and investments.
<!-- </readership> -->Keywords:Financial History;Risk Management;Investment Strategies;Mean Reversion;Risk Arbitrage;Management of AssetsReview:“Bill's many interests have taken him through the worlds of academia, investing and gambling. This memoir adds human background to his prolific writings, which range from finance, horse-racing and lotteries, to oriental rugs.”
Edward O Thorp
author of Beat the Dealer and Beat the Market
“For more than 3 decades, a major passion of mine has been to encourage professional school faculty to draw research inspiration from industry. Bill embodies this ideal more completely than anyone I've ever known.”
Arthur Geoffrion
James A Collins, Chair in Management Emeritus
UCLA Anderson School
“This book is remarkable in several ways. It recounts Bill's adventures throughout his life, and the amazing number of things he has done, places he has visited and people he has known and worked with. Many of those people were among the most brilliant in their respective fields, and Bill recounts his interactions, adventures and often collaborations with them. But the book is not just fun, it also provides keen insights into how to make money in the stock market and horse racing. It is a matter of looking for the special situations, the anomalies, where distinctive opportunities open up, and Bill backs this up with his careful and exhaustive research. The book is an adventure in life and money from beginning to end.”
Willard Zangwill
Booth School of Business
University of Chicago
“Most academics in finance, even if they consult, keep to a mainstream efficient markets approach. Indeed they often suggest investing in index funds. Since that beats three-quarters of all investors with low cost it's a useful strategy. Ziemba strives for more. In each market — be it the stock market, lotteries, football, horse racing betting or owning top horses — he looks at the behavior of the participants, the institutional practices, mean reversion of prices and biases to generate superior risk-adjusted returns. This requires more study, research and execution work, but it does pay off. All throughout this book you will find interesting stories and creative solutions in various markets with very colorful people, many of whom have been extremely successful focusing on the data and research. His story covers a lot of what happened in the financial markets over the last 50 or so years. He embeds his academic and practical sides with lots of travel both to conferences and for fun. It's an amazing journey that very few have been willing to take. There is a lot here for all types of individuals.”
Frank J Fabozzi
Professor of Finance, EDHEC Business School
and Editor, Journal of Portfolio Management
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