Found in 3 comments on Hacker News
gitgud235 · 2021-12-14 · Original thread
TLDR: it does not exist.

I used to be quite interested in finance or 'quant-finance'. Besides from taking too many courses in analysis and 'applied' mathematics like stochastic processes, bayesian methods, SDE's, etc. I have searched through a-lot of shitty Reddit forums and bad YouTube channels.

They are all bad, and no-one is actually doing anything. Sometimes there is Kaggle-competition like this one [1] where people are actually doing something and not just implementing a naive Black-Scholes model in Python with toy data, but again, in my experience it all linear models that run in production.

Depending on where you live I think there is a much higher change connecting with other people with engaging in finance-clubs at your local university or maybe get an internship/job.

The only real value I have got out from searching/reading about (quant) finance is [2] A Man for All Markets: From Las Vegas to Wall Street, How I Beat the Dealer and the Market, but you can skip the 5 first chapters.

1: https://www.kaggle.com/c/optiver-realized-volatility-predict...

2: https://www.amazon.com/Man-All-Markets-Street-Dealer/dp/1400...

Before Black-Scholes gets bashed too hard, people should keep in mind that it's nearly 50 years old. Of course it's going to be outdated and inaccurate (as all models are).

It's worth reflecting on what options markets were like before Black-Scholes: a lot smaller and valued through qualitative, "over-the-counter" measures. More like handshake one-off business deals than liquid markets.

Regardless of how you feel about options trading or the role of liquidity in financial markets, Black-Scholes was an intellectual achievement and should be remembered as such, even as newer better techniques replace it.

To his credit, Ed Thorp also realized this at the same time as Black-Scholes but chose the money-management route and didn't feel the need to publish his strategies as papers for the academic community (and probably giving up the Nobel Prize in Economics).

My two favorite books on these people are Perry Mehrling's biography of Black and Ed Thorp's autobiography.

Fischer Black: https://www.amazon.com/Fischer-Black-Revolutionary-Idea-Fina...

Ed Thorp: https://www.amazon.com/Man-All-Markets-Street-Dealer/dp/0812...

SirLJ · 2018-11-16 · Original thread
"A Man for All Markets: From Las Vegas to Wall Street, How I Beat the Dealer and the Market" by Edward O. Thorp

https://www.amazon.com/Man-All-Markets-Street-Dealer/dp/1400...