John Larry Kelly Jr.
John Larry Kelly Jr. | |
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| Born | December 26, 1923 Corsicana, Texas,U.S. |
| Died | March 18, 1965(aged 41) Manhattan, New York,U.S. |
| Occupation | Scientist |
John Larry Kelly Jr.(December 26, 1923 – March 18, 1965), was an American scientist who worked atBell Labs.From a "system he'd developed to analyze information transmitted over networks," fromClaude Shannon'searlier work oninformation theory,he is best known for his 1956 work in creating theKelly criterionformula. With notable volatility in its sequence of outcomes,[1]the Kelly criterion can be used to estimate what proportion of wealth to risk in a sequence of positive expected value bets to maximize the rate of return.[2][3]As a substantial warning, the outcome for the Kelly criterion's recommendation on bet-size "relies heavily on the accuracy" of thestatistical probabilitiesgiven to a gamble's positive expectations.[4]
Early life[edit]
He was born inCorsicana, Texas.He spent four years in the US Navy as a pilot during World War II before entering theUniversity of Texas at Austin.He graduated with a PhD in physics in 1953.
Speech synthesis: Enter Hal 9000[edit]
In 1961, Kelly and colleagues Carol Lochbaum andLou Gerstmancreated one of the most famous moments in the history of Bell Telephone Laboratories by using anIBM 7094computer to synthesize speech.[5][6]A demonstration by Kelly and Gerstman took place on May 10, 1961, at a meeting in Philadelphia of theAcoustical Society of Americawhere a reporter noted that "A machine that talks— and sings— stole the show today as the old Bellevue Stratford vibrated with the speed of sound. The new gadget, a modified mechanical brain, recited passages from Shakespeare and sang musical selections in response to card-punched symbols, which were fed to it."[7]Their voice recorder synthesizervocoderrecreated the songDaisy Bell,[8]with musical accompaniment fromMax Mathews.Arthur C. Clarkeof2001: A Space Odysseyfame visited his friend and colleague John Pierce at the Bell Labs Murray Hill facility and heard this remarkablespeech synthesisdemonstration. Clarke was so impressed that he used it in one of the climactic scenes of his novel and screenplay for2001: A Space Odyssey,[9]when theHAL 9000computer sings the same song as it is being disabled by astronautDave Bowman.[10]
The Las Vegas connection: Information theory and its applications to Game theory[edit]
John Kelly was an associate ofClaude Shannonat Bell Labs. Together they developed aGame theorytype method based on the principles ofinformation theorydeveloped by Shannon.[11]It is reported that Shannon and his wife Betty went toLas VegaswithM.I.T.mathematicianEd Thorp,and made very successful forays inrouletteandblackjackusing this method, later called theKelly criterion,making a fortune as detailed in the bookFortune's FormulabyWilliam Poundstone[12]and corroborated by the writings ofElwyn Berlekamp,[13]Kelly's research assistant in 1960 and 1962.[12]Shannon and Thorp also applied the same theory to the stock market with even better results.[14]
Over the decades, John Kelly's scientific formula has become a part of mainstream investment theory[15]and the most prominent users, well-known and successful billionaire investorsWarren Buffett,[16][17]Bill Gross[18]andJim Simonsuse Kelly methods. Warren Buffett met Thorp the first time in 1968. It's said that Buffett uses a form of the Kelly criterion in deciding how much money to put into various holdings. Mathematician and game theoristElwyn Berlekamp,once an assistant to Kelly at Bell Labs, had applied the same logical algorithm forAxcom Trading Advisors,an alternative investment management company that he led after acquiring most of the equity of the co-founder and prior leader, mathematicianJames Ax.Axcom was the outsourced manager forRenaissance Technologies Corphedge fund flagship, theMedallion Fund.In 1990, Axcom was acquired by its part-owner, fellow mathematician and founder of Renaissance,Jim Simons.[19]
Death[edit]
A heavy smoker who could go through six packs of cigarettes a day, Kelly died of astrokeon a Manhattan sidewalk at the age of 41 on March 18, 1965.[20][2]
References[edit]
Cited references[edit]
- ^Samuelson (1979)."Why We Should Not Make Mean Log of Wealth Big Though Years to Act Are Long"(PDF).Journal of Banking and Finance.3(4): 305–307.doi:10.1016/0378-4266(79)90023-2.
- ^ab"The Man Who Solved the Market", Gregory Zuckerman, 2019
- ^Kelly, J. L.(1956). "A New Interpretation of Information Rate".Bell System Technical Journal.35(4): 917–926.doi:10.1002/j.1538-7305.1956.tb03809.x.
- ^"Apply the Kelly Criterion to Investing and Your Portfolio Sizing".18 June 2014.
- ^John, Mullennix (2010-01-31).Computer Synthesized Speech Technologies: Tools for Aiding Impairment: Tools for Aiding Impairment.IGI Global.ISBN9781615207268.
- ^Lambert, Bruce (1992-03-21)."Louis Gerstman, 61, a Specialist In Speech Disorders and Processes".The New York Times.ISSN0362-4331.Retrieved2017-03-14.
- ^"Sounds of Speech— And They're a Card", by Charlie Bannister,Philadelphia Daily News,May 10, 1961, p. 50
- ^Another reporter, for theAustralian Associated Press,noted that "the computor [sic] delivered the 'To Be Or Not To Be' lines from 'Hamlet''... Then it gave a rendition of 'Daisy, Daisy, Give Me Your Answer Do' and ended by thanking the audience for listening. "," Robot talks, sings ",Sydney Morning Herald,June 18, 1961, p. 25
- ^Arthur C. Clarke online BiographyArchived1997-12-11 at theWayback Machine
- ^"Text-To-Speech Synthesis".www3.alcatel-lucent.Retrieved2017-03-14.
- ^John Kelly by William Poundstone website
- ^abPoundstone, William:Fortune's Formula: The Untold Story of the Scientific Betting System That Beat the Casinos and Wall Street
- ^Elwyn Berlekamp (Kelly's Research Assistant) Bio details
- ^William Poundstone website
- ^Zenios, S. A.; Ziemba, W. T. (2006),Handbook of Asset and Liability Management,North Holland,ISBN978-0-444-50875-1
- ^Pabrai, Mohnish (2007),The Dhandho Investor: The Low-Risk Value Method to High Returns,Wiley,ISBN978-0-470-04389-9
- ^"Ed Thorp's Genius Detailed In Scott Patterson's 'The Quants'".gurufocus.February 5, 2010.
- ^Thorp, E. O. (September 2008), "The Kelly Criterion: Part II",Wilmott Magazine
- ^The Man Who Solved the Market, Gregory Zuckerman (2019)
- ^"Get Rich: Here's the Math".Bloomberg.26 September 2005.
General references[edit]
External links[edit]
- Kelly criterion– description of Kelly criterion(in Polish)
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