The author of this book, Anatoly B. Schmidt, has written a book on Market Microstructure and an introductory book on Quant Fin for Physicists Schmidt is a Physics PhD from Russia who moves to NY and joins the quant-bandwagon on Wall Street. From a person like that one might expect that his autobiography would contain war stories about building-tweaking-testing-implementing models. Unfortunately this book mentions none whatsoever. Instead the author writes about his affairs with various women and his failed marriage.

The book begins with a brief note that highlights the difference between “expectation pricing” and “arbitrage pricing”. It gives an example of a bookmaker, someone who takes bets on horses. The bookmaker can always stay in the business by setting up odds based on the money at stake, rather than based on actual probabilities. If the book maker does a statistical analysis of horse performances,track conditions, historical data, etc.. and then sets the odds, there is always a possibility of a huge loss and getting wiped out.

In the recent years there have been a lot of books written about quants on Wall Street. Some of the books have been a journalistic account of people, events, technologies that have revolutionized Wall Street. Some of the books are more technical that look like applied math/stats books. This book is a welcome addition to the existing literature. The book has been written by a Physics PhD who traces the rise of Physicists on Wall Street.

Not what we have but what we enjoy, constitutes our abundance. Epicurus

Geeta Ramanujam (Kathalaya) at TEDx, Bangalore [youtube https://www.youtube.com/watch?v=P2ccK66KKe8?rel=0]