I think some of you know the famous billionaire mathematician James Simons. Somewhat as Warren Buffet, this guy cracked the Wall Street with a mathematical model (essentially most statistic and a bit of probability). It could take a lot of time, but I'd like to understand by myself how he constructs his model or how to reproduce a similar model. It follows that none idea came up so far, and I wish someone would unblock me at this level.
Questions : Could anyone be able to give me a path, ideas (Markov models, ...) how could I obtain a starting idea? In other words, does anyone have the intuition of the mathematical theory he uses to this algorithm?