137: The horse bettor exploiting anomalies in financial markets – Dr. William Ziemba

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Dr. William Ziemba’s an academic, a practitioner, gambler, trader and an author. He’s worked with and consulted to many well-respected names in the field, such as; Edward Thorp, Blair Hull and the very successful horse bettor, Bill Benter.

In the beginning, horse betting was William’s field of expertise (he even published a book titled, Beat The Racetrack!) And in many ways, for William, horse betting worked as a gateway to trading financial markets—which he’s been doing since 1983.

Now in current times, William manages a fund; Alpha Z Advisors—which started trading in July 2013 and as of May 2017, has returned 527%. Much of William’s trading revolves around calendar anomalies, arbitrage strategies and behavioral biases…

Topics of discussion:

  • William speaks about his research into calendar anomalies, what causes anomalies to exist, and how William’s bet on a real-life stock market anomaly for many years.
  • Characteristics of using Kelly Criterion as a formula for position sizing, situations where it may be preferable to use half-Kelly, a word of caution about overbetting.
  • Why many successful traders come from a gambling background, William’s experience in horse racing, and is it easier to make money in sports betting?

William Ziemba: Mathematician, gambler, trader and author. (Photo by Antonis Georgiadis)

Links and resources mentioned:

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