Aaron Brown is a Wall Street quant, risk manager, and trader. He’s also a professor and the author of the recent book Wrong Number—on probability, reasoning, and the role of skepticism in markets and beyond.

We begin with Aaron’s unconventional path into finance, from identifying betting opportunities in horse racing and playing professional poker to studying under pioneers including Fischer Black before spending decades on Wall Street.

The conversation explores how concepts from poker—including bankroll management, Kelly sizing, and separating risk management from individual decisions—translate into portfolio construction and investing.

We then turn to Aaron’s latest book, Wrong Number, which examines the misuse and misinterpretation of statistics across a range of public policy and scientific topics. He discusses common errors surrounding p-values, data quality, and the incentives that shape published research, emphasizing the importance of skepticism and careful interpretation of statistical claims.

The discussion shifts back to financial markets, including factor investing and the evolution of systematic strategies. Aaron reflects on the distinction between economically meaningful factors and statistical overfitting, while also discussing how artificial intelligence may improve risk management and market surveillance.

We conclude by exploring prediction markets, the wisdom of crowds, and price formation. Aaron shares his perspective on probability, market games, and the role prediction markets can play in helping participants better understand both market expectations and their own decision-making.

I hope you enjoy this episode of the Alpha Exchange, my conversation with Aaron Brown.