Thoughtful new interview with gambler, professor, investor and quant godfather Ed Thorp. There are many nuggets in this interview, so this is just an excerpt:
Edward Thorp: I think that the opportunities for quantitative investing are likely to get better, simply because markets are becoming larger and more interconnected and the tools the quants have continue to improve. So that’s one side of it. The other side is there there can be a disconnect between the models that the quants build and the real world, and that disconnect can lead to serious trouble, for example the mortgage pool models or the Long Term Capital Management approach to doing things with super-high leverage, assuming the world is Mediocristan rather than something else.
Lots more here, all of which is worth reading.