Here I summarise the financial market lessons imparted by Ed Thorp in his book “A man for all markets”. My first three sections cover his views on investing, risk and market inefficiencies. My last two sections describe the hedge fund strategies Dr Thorp employed as well as his views on hedge funds in general.
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Replacing continuous time trading with frequent batch auctions substantially mitigates the advantage that latency arbitrageurs, such as high-frequency traders, enjoy. Discrete time trading reduces the number of races to the top of the order book. It does not altogether reduce the advantage latency arbitrageurs have though.
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We consider here a way to reduce the advantage which latency arbitrageurs have on public exchanges. This can be achieved by changing from continuous time trading to discrete time trading.
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