A nice little paper from one of my trading heroes - Ed Thorp.
http://edwardothorp.com/sitebuildercontent/sitebuilderfiles/thorpwilmottqfinrev2003.pdfEd is a PhD math wiz who was the first to figure out how to beat blackjack and roulette. He also figured out the Black Scholes formula for option pricing (and used it successfully) 6 year before Fischer Black and Myron Scholes published their paper that won them Nobel prizes. He also figured out the Bernie Madoff pyramid scheme 17 years before the Feds did. He knew Warren Buffett from his partnership days and became a big investor in Berkshire Hathaway. His performance from his hedge funds since the '60s is over 20% a year. He pioneered convertible bond arbitrage and statistical arbitrage (pairs trading) and made a ton of money from it.
"Where do the ideas come from? Mine come from sitting and thinking, academic journals, general and financial reading, networking, and discussions with other people. In each of our three examples, the market was inefficient, and the inefficiency or mispricing tended to diminish somewhat, but gradually over many years. Competition tends to drive down returns, so continuous research and development is advisable. In the words of Leroy Satchel Paige, “Don’t look back. Something might be gaining on you”." - Ed Thorp
All the articles on his website are as good as Buffett's letters to shareholders. I highly recommend for interesting reading, as well as if you have aspirations of beating the market. Obviously if you aren't a math wiz you aren't going to take the same route as him. But his process for getting ideas, testing them, and risk management apply across all strategies.
http://edwardothorp.com/id9.html