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Games, gambling and quantitative finance

Mathematics and Statistics

Books on game theory, betting systems, risk and fat tails, and the mathematics of markets, portfolios and derivatives.

32 books on Games, gambling and quantitative finance, 8 of them tier 1, recommended by 15 people including Mohnish Pabrai and Nassim Nicholas Taleb.

32 books · 20 experts

Start here

  1. Theory of Games and Economic BehaviorJohn von Neumann, Oskar Morgenstern, 1944
  2. Portfolio SelectionHarry M. Markowitz, 1959
  3. The Strategy of ConflictThomas C. Schelling, 1960
  4. Beat the DealerEdward O. Thorp, 1962
  5. The Evolution of CooperationRobert Axelrod, 1984

The best books on Games, gambling and quantitative finance 32

Theory of Games and Economic BehaviorTheory of Games and Economic Behavior
T1 Theory of Games and Economic Behavior
John von Neumann, Oskar Morgenstern · 1944
Open Library
Portfolio SelectionPortfolio Selection
T1 Portfolio Selection
Harry M. Markowitz · 1959
The original mean-variance monograph.
Open Library
The Strategy of ConflictThe Strategy of Conflict
T1 The Strategy of Conflict
Thomas C. Schelling · 1960
Commitment, threats and bargaining; the founding text of strategic conflict
Open Library
Recommended byNaval Ravikant
Beat the DealerBeat the Dealer
T1 Beat the Dealer
Edward O. Thorp · 1962
Revised second edition 1966 is the standard text.
Open Library
The Evolution of CooperationThe Evolution of Cooperation
T1 The Evolution of Cooperation
Robert Axelrod · 1984
Open Library
Recommended byPatrick CollisonNaval Ravikant
Thinking StrategicallyThinking Strategically
T1 Thinking Strategically
Avinash K. Dixit, Barry J. Nalebuff · 1991
Open Library
Against the Gods: The Remarkable Story of RiAgainst the Gods: The Remarkable Story of Risk
T1 Against the Gods: The Remarkable Story of Risk
Peter L. Bernstein · 1996
Open Library unreachable during build; every openlibrary.org query failed with connection errors
Open Library
“see the classic book Against the Gods: The Remarkable Story of Risk for more on this”Marc Andreessen
Recommended byCharles de VaulxJim CollinsMarc AndreessenMohnish PabraiHoward MarksJason ZweigMichael BurryMichael Mauboussin+2 more
Triumph of the OptimistsTriumph of the Optimists
T1 Triumph of the Optimists
Elroy Dimson, Paul Marsh, Mike Staunton · 2002
101 years of returns across sixteen countries; the survivorship-free equity record.
Open Library
Recommended byMohnish Pabrai
Prisoner's DilemmaPrisoner's Dilemma
T2 Prisoner's Dilemma
William Poundstone · 1992
Open Library
What Works on Wall StreetWhat Works on Wall Street
T2 What Works on Wall Street
James P. O'Shaughnessy · 1996
The long-run backtests that put numbers on the size and value effects.
Open Library
“Strongly Recommended. Great data.”Mohnish Pabrai
Recommended byMohnish PabraiPatrick O'Shaughnessy
Fortune's Formula: The Untold Story of the SFortune's Formula: The Untold Story of the Scientific Betting System That Beat the Casinos and Wall Street
T2 Fortune's Formula: The Untold Story of the Scientific Betting System That Beat the Casinos and Wall Street
William Poundstone · 2005
Kelly criterion and information theory: the intellectual lineage Medallion trades on.
Open Library
Recommended byMohnish Pabrai
The Art of StrategyThe Art of Strategy
T2 The Art of Strategy
Avinash K. Dixit, Barry J. Nalebuff · 2008
Open Library
Introduction to Risk Parity and BudgetingIntroduction to Risk Parity and Budgeting
T2 Introduction to Risk Parity and Budgeting
Thierry Roncalli · 2013
The technical reference: risk contributions, budgeting and the mathematics.
Open Library
Critical Phenomena in Natural SciencesCritical Phenomena in Natural Sciences
T3 Critical Phenomena in Natural Sciences
Didier Sornette · 2000
Power laws, scaling and critical points across physical and social systems
Open Library
Recommended byNassim Nicholas Taleb
Ubiquity: Why Catastrophes HappenUbiquity: Why Catastrophes Happen
T3 Ubiquity: Why Catastrophes Happen
Mark Buchanan · 2000
Open Library
A Mathematician Plays the Stock MarketA Mathematician Plays the Stock Market
T3 A Mathematician Plays the Stock Market
John Allen Paulos · 2003
A mathematician's own losses used to explain market probability errors
Open Library
Recommended byMohnish Pabrai
The Kelly Capital Growth Investment Criterio
T3 The Kelly Capital Growth Investment Criterion
Edward O. Thorp, Leonard C. MacLean, William T. Ziemba · 2010
Edited volume of collected papers.
Open Library
Recommended byNassim Nicholas Taleb
Red-Blooded Risk
T3 Red-Blooded Risk
Aaron Brown · 2011
A working risk manager on what value-at-risk is and is not for.
Open Library
The Physics of Wall Street: A Brief History The Physics of Wall Street: A Brief History of Predicting the Unpredictable
T3 The Physics of Wall Street: A Brief History of Predicting the Unpredictable
James Owen Weatherall · 2013
How physicists and mathematicians came to run money; useful context for Simons.
Open Library
Recommended byEric Weinstein
Empirical Asset PricingEmpirical Asset Pricing
T3 Empirical Asset Pricing
Turan G. Bali, Robert F. Engle, Scott Murray · 2016
The cross-sectional testing methods behind every factor claim.
Open Library
Statistical Consequences of Fat TailsStatistical Consequences of Fat Tails
T3 Statistical Consequences of Fat Tails
Nassim Nicholas Taleb · 2020
Technical companion to the Incerto; free preprint on arXiv
Open Library
The Mathematics of GamblingThe Mathematics of Gambling
T4 The Mathematics of Gambling
Edward O. Thorp · 1984
Open Library
The Mathematics of Money ManagementThe Mathematics of Money Management
T4 The Mathematics of Money Management
Ralph Vince · 1992
Optimal-f and the practical arithmetic of fractional betting.
Open Library
Modelling Extremal EventsModelling Extremal Events
T4 Modelling Extremal Events
Paul Embrechts, Claudia Kluppelberg, Thomas Mikosch · 1997
The technical reference on extreme value theory for insurance and finance
Open Library
Recommended byNassim Nicholas Taleb
The Econometrics of Financial Markets
T4 The Econometrics of Financial Markets
Andrew W. Lo, John Y. Campbell, A. Craig MacKinlay · 1997
Princeton University Press. Open Library API unreachable this pass.
Open Library
A Non-Random Walk Down Wall StreetA Non-Random Walk Down Wall Street
T4 A Non-Random Walk Down Wall Street
Andrew W. Lo, A. Craig MacKinlay · 1999
Princeton University Press. Open Library API unreachable this pass.
Open Library
Why Stock Markets CrashWhy Stock Markets Crash
T4 Why Stock Markets Crash
Didier Sornette · 2002
Log-periodic power laws as a physicist's model of crash formation
Open Library
Recommended byNassim Nicholas Taleb
Financial Derivatives: Pricing, ApplicationsFinancial Derivatives: Pricing, Applications, and Mathematics
T4 Financial Derivatives: Pricing, Applications, and Mathematics
Jamil Baz, George Chacko · 2003
Compact mathematical treatment of derivative pricing and its applications
Open Library
Recommended byNassim Nicholas Taleb
The Misbehavior of MarketsThe Misbehavior of Markets
T4 The Misbehavior of Markets
Benoit Mandelbrot, Richard Hudson · 2004
Open Library
Recommended byMohnish PabraiNassim Nicholas TalebPatrick O'Shaughnessy
The Complete Strategyst
T4 The Complete Strategyst
J. D. Williams
unverified
Recommended byNaval Ravikant
The Mathematics of Politics
T4 The Mathematics of Politics
E. Arthur Robinson
unverified
Recommended byKevin Systrom
The Perfect Bet: How Science and Math Are TaThe Perfect Bet: How Science and Math Are Taking the Luck Out of Gambling
T4 The Perfect Bet: How Science and Math Are Taking the Luck Out of Gambling
Adam Kucharski
unverified
Recommended byPatrick O'Shaughnessy

Experts 20

The people who wrote this page's books, and the people who recommend them.

Authors 6

EO
Edward O. Thorpwrote 3 books hereAndrew W. Lowrote 2 books here
WP
William Poundstonewrote 2 books hereNassim Nicholas Talebwrote 1 book here
PL
Peter L. Bernsteinwrote 1 book hereJames P. O'Shaughnessywrote 1 book here

Recommenders 15

Nassim Nicholas Talebrecommends 6 books here
MP
Mohnish Pabrairecommends 6 books here
PO
Patrick O'Shaughnessyrecommends 4 books hereNaval Ravikantrecommends 3 books hereHoward Marksrecommends 1 book here
JC
Jim Collinsrecommends 1 book hereMarc Andreessenrecommends 1 book here
MM
Michael Mauboussinrecommends 1 book here
JZ
Jason Zweigrecommends 1 book here
CD
Charles de Vaulxrecommends 1 book hereEric Weinsteinrecommends 1 book hereKevin Systromrecommends 1 book here
Show all 15
MB
Michael Burryrecommends 1 book herePatrick Collisonrecommends 1 book here
RP
Raoul Palrecommends 1 book here
See all 20 in the Experts tab →

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