DOCS & RESEARCH

Docs & Research

Protocol design, contract audits, Policy development guides, and market-structure research — the engineering and research material F* shares in the open. Deeper material (full audit reports, compliance white papers) is published via GitHub and integration channels.

STORY · Seventy Years of Kelly

2026.06.18

6 min read

The Half-Line Formula at Bell Labs

In 1956 a 32-year-old physicist and former pilot wrote half a line on a note pad, translating Shannon's information theory into wealth growth — and never used the formula himself.

— Robert B.

STORY · Seventy Years of Kelly

2026.06.16

6 min read

The Math Professor Who Beat the Dealer

Reno, 1961: Thorp doubled his stake in 72 hours — the first time anyone beat a commercial casino with mathematics. Counting tells you your edge; Kelly tells you how much to bet.

— Robert B.

STORY · Seventy Years of Kelly

2026.06.14

5 min read

From $200 to the Bond King

Bill Gross started at a $200 blackjack table, took the discipline to the bond desk, and grew PIMCO to ~$2T — his '2% rule' is the essence of Kelly.

— Robert B.

STORY · Seventy Years of Kelly

2026.06.12

6 min read

The Billion-Dollar Racing Algorithm

Blacklisted by US casinos, physicist Bill Benter landed in Hong Kong with Thorp's toolkit and cracked horse racing — 17 years, hundreds of thousands of bets, ~$1B.

— Robert B.

STORY · Cautionary tale

2026.06.10

6 min read

The Nobel Halo at Thirty-Times Leverage

LTCM's partners included the very inventor of continuous-time Kelly — yet they didn't use it. 30× leverage, 90% gone in three months. The real-world version of full Kelly.

— Robert B.

STORY · The dispute

2026.06.08

5 min read

The Nobel Laureate's Monosyllabic Paper

In 1979 Samuelson mocked Kelly's supporters with a paper written almost entirely in one-syllable words. Seventy years on, its users are still here — and the fight forced fractional Kelly.

— Robert B.

RESEARCH

2026.05.20

14 min read

Applying Kelly in High-Vol Crypto: Calibrating Quarter-Kelly in Practice

Full Kelly is almost never used in crypto — why? With 24 months of data across six strategies, we quantify the realised growth and drawdown of 1/2, 1/4, 1/8 Kelly across volatility regimes.

— M. Zhao

MARKET

2026.04.28

10 min read

The Stablecoin Yield Curve: From Aave / Pendle to RWA Treasuries

Stablecoin yield is being restructured — MakerDAO's sUSDS, Ondo's USDY, BlackRock BUIDL. We chart a yield curve that spans DeFi and RWAs.

— F* Research

ON-CHAIN

2026.03.15

12 min read

L2 Liquidity Landscape: Capital Flow from OP Stack to Base

Over the past six months, stablecoin and ETH migration between major L2s has tilted clearly toward Base. We unpack the incentive structure behind the flow.

— K. Chen

REGULATORY

2026.02.10

8 min read

Crypto Asset Management Under Full MiCA: A Field Note

What MiCA requires of crypto asset managers in the EU — and F* Protocol's response, including cross-jurisdictional structural adjustments.

— J. Park

RESEARCH

2026.01.05

16 min read

Multi-Strategy Correlation: The Second-Order Discipline After Kelly

Kelly alone is not enough — cross-strategy correlation is the real constraint on total leverage. A 12-month empirical report.

— C. Yi

Older research and integration-exclusive deep reports are published at fund-vault/research/ on GitHub and through the integrations channel.