Nothing to see here at the moment, apart from snippets I found interesting.
Jon V, How to build your own algotrading platform
Jonathan Kinlay, on market timing strategies via Machine Learning.
Introductory: Zvi Mowshowitz on Kelly bets.
In the special case of all-or-nothing bets, things are different than variable return instruments.
- Nekr14: Nekrasov, V. (2014) Kelly Criterion for Multivariate Portfolios: A Model-Free Approach (SSRN Scholarly Paper No. ID 2259133). Rochester, NY: Social Science Research Network
- Thor06: Thorp, E. O. (2006) Chapter 9 The Kelly Criterion in Blackjack Sports Betting, and the Stock Market.In Handbook of Asset and Liability Management (Vol. 1, pp. 385–428). Elsevier DOI