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Last >>13592251
>>
describe your firm's office snacks
>>
No, fuck off to /biz/, no economics threads on my watch.
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>>13633401
Shut it

>>13633385
Of all the images you could choose, OP...
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>>13633385
Previous thread OP here, here are some resources from the last thread that are cool

> math & quant resources

YT channels
Dimitri Bianco
NEDL

Quant papers and resources hoard
https://drive.google.com/drive/mobile/folders/1XUm1LaGMtVmAgrSCHBFr2908Q4dKAp-f

Math syllabus for quants
https://www.quantstart.com/articles/How-to-Learn-Advanced-Mathematics-Without-Heading-to-University-Part-1/

> programming resources

Basic DS - any book or online resource
https://www.amazon.com/Structures-Algorithm-Analysis-Computer-Science/dp/048648582X
https://www.amazon.com/Data-Structures-Other-Objects-Using/dp/0132129485/

https://ucsd-cse100-s20.github.io/
Data Structures and Algorithm Analysis in C++, Third Edition, by Mark Allen Weiss
Effective C++, Third Edition, by Scott Myers

https://cseweb.ucsd.edu//~rajaiswal/cse101/
Algorithm Design by Jon Kleinberg and Eva Tardos

https://cseweb.ucsd.edu/classes/wi18/cse105-ab/
Sipser, Michael Introduction to the Theory of Computation, Third Edition

You could skip assembler; read and decide.
http://kastner.ucsd.edu/ryan/cse-30-computer-organization-and-systems-programming/
https://github.com/ucsd-cse30-f17/syllabus

Competitive programming syllabus

https://cses.fi/book/book.pdf
>>
>>13633537
Why is half of it coding?
It's not even the funny ebin Python time series coding, it's actual algorithm design and fucking theory of computation.
>>
>>13633544
A decent quant is a good coder. Also, quant devs are a thing.
If you actually look at the links, there are way more quant proper papers in the drive than the other stuff combined.

Instead of complaining you can add more mathematical resources :)
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>>13633385
Just read Shreve's other books, more to the point than these. Also read an applied finance book like Willmott or the big one everyone uses these days.
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>>13633578
> the big one
Hull?
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>>13633544
unless you wanna be some retarded excel spreadsheet jockey at a bank, you better learn to automate your analyses.
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>>13633385
What do you quant geniuses think this guys strategy is? He makes millions every week. A few crypto whales I talked to literally called him the best trader in the world.
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>>13633582
yeah Hull thanks
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>>13633626
He does the Bible trading method from Sirens of Titan
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>>13633578
Agreed, Shreve is pretty much industry standard. But also, unless you're working on a structuring and pricing desk, StoCal is not terribly useful for everyday use.
>>
What do people with degrees in Finance do besides being "quants"
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>>13633747
Finance people actually mostly do stuff like asset management, investment banking etc, which has not much to do with quant
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>>13633747
propagate judaism
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>>13633747
Mostly corporate finance honestly. Getting in to good banks or funds is very difficult unless you comes from a target school.
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>>13633537
A Google Drive folder might not last very long due to copyright issues or something like that. Can someone copy the contents of that drive over to Mega or GitHub?
>>
Posting an anon's observations and thoughts on quant jobs from an old thread about a year ago:

"I'm gonna stop you right there buddy. Becoming a quant is a pretty sweet gig no doubt, but you're a bit delusional.

So let me just start off by saying - you are definitely not going to become a quant unless you get a PhD related to stats/maths/finance or at the VERY LEAST a masters degree related to those fields. Being good a C++ is only part of what it takes to become a quant. You have to be good at math, understand finance and also have a lot of experience in the finance sector.

And before you go on and say that you're good at all those things, let me stop you again, buddy - You're not. The reason this job pays this well is because they hire ivy league/top university graduates with PhD's and years of experience using HPC C++ who know C++ so well they can basically write a fucking in depth book about it.

I don't want to crush your dreams man, but I strongly suggest you aim for a different career path, it is almost guaranteed you will not become a quant. You have to be autistically intelligent and good a programming to to do. And once you end up getting the job, you WILL hate it. You will work 80 hour weeks guaranteed and you'll live in finance hubs, where the COL is really high so your salary might not even be that great comparatively in the end.

You can get a cushier, easier and a high paying job with C++, but honestly, trust me, you don't want to be a quant.

>t. someone whose brother became a quant after graduating from MIT and quit after two years because he had a mental breakdown
"
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>>13634501
Will tty to do and post the link tomorrow anon
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>>13634526
Kinda good points, but then again, finance and algos are the only thing that interests me profesionally, so...
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>>13633544
Because this is essentially applied data science.
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>>13634526
Cope and rope.
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>>13634623
??
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>>13634667
It’s not that hard or that stressful. It’s just another field of knowledge. You get good at it if you’re good at it and you train. I guess people complain because they’re just in it for money and are forcing themselves to study it but I honestly find the scientific study of prices in markets to be inspiring passion.
>>
>>13634740
scientific study of man made concept XD
>>
I wanted to get an undergrad degree in maths in 2022 (I'm 19), but then I've seen this interview which suggests that CS degree is preferable. What do you guys think? I've heard that undergrad degrees in CS suck
https://www.youtube.com/watch?v=3kP1fF6V0Ec
>>
>>13633461
>Of all the images you could choose, OP...
why, is it a troll image?
>>
>>13634740
He might be wrong about the emotional aspects of the job but he's not wrong about quant not being everyone's cup of tea. One has to be very very strong at math, logical reasoning and programming for entry level quant roles, even more than FAGMAN
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>>13635097
Literally no idea why you think this is a point against finance
>>
>>13635145
Math is better for quant reseraxh, I'd supplement it with some coding experience anon
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>>13635155
It's advice from /sci/, so I don't trust it too much kek
>>
lmfao
>Oh yeah bro I'm going to read proofs about brownian motion I'm going to get so rich.
Just admit you want to do study mathematics and be considered "smart" and stop pretending that what you're really after is wealth.
>>
>>13635464
Isn't it usually the opposite?
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>>13633385
im about to have a brownian motion in my pants
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>>13633385
>Should actually be able to make money
Lmao. Fucking no.
>>
>>13633385
im about to finish grad school specialized in stochastics, ive done quite a bit of financial math. This set of recommendations is terrible and designed to burn out anyone attempting to self study. All sci math charts are. What you do after having some background in measure theory and probability theory IS NOT READING KARATZAS AND SHREVE. Get Oksendals book on SDE's and stochastic control, ignore all math books recommended here desu
>>
>>13635666
Care to explain?
>>
I got a Masters in Quantitative Econ after doing a bachelors in poli sci and Econ. I think I’m going to do a JD/MBA next. I made it in crypto already. Just enjoying the schooling tbqh. Paying for it all out of pocket is not an issue.
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>>13633401
>economics
>Quant Finance General
?????????
>>
>>13635671
K&S are writing the cutting edge and strongest version of all the theorems they cover ( at the time), I know this sounds good and hardcore and all that but it really makes self-study impossible since the writing is way too technical for someone starting out in this field. Trust me this stuff is technical enough as is. Second of all key theorems and ideas are delegated to exercises. Just try to read a chapter or 2 of K&S and see where it gets you. If you want to practically study this stuff oksendal is the standard
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>>13635673
Why MBA? Apart from being a random manager, what's the point? Always seemed like a poser business-bro degree to me
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>>13634526
Some parts accurate, some parts not. Typically institutions employ so called quant devs to move the quant analysts model into code. So the bits about C++ are, in my experience, just wrong. I could see it perhaps being true if it was a new, small, fund (or other institution) where you're expected to do many different things, but if this went on for any length of time, then he's only got himself to blame for being a little bitch and not putting his foot down. The HPC parts also only really apply to HFT firms, in general you won't be looking at high throughput or low latency systems.

Now as for the requirements for being an analyst, they seem pretty accurate. You're expected to a masters or a PhD in a quantitative field (maths/physics/engineering).

>7/10 believability
>Maybe 9/10 if I'm right about his background at a smaller/newer institution.
>>
>>13635682
Yes. Quant finance is a very specific subject of economics. I hope all stemcels here realize this someday

Financial markets and trading are based on
>general economics concepts like demand/supply, equilibrium, money markets etc.
>behavioral economics (psychology of trading and behaviour of investors)
>econometrics (all types of regressions and time series analysis)
Even if you look at parametric option pricing models, they are all derived from economic principles. Randomly applying some meme ML model on a bunch of data is not quant finance.
>>
does pairs trading with kalman filters still work?
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>>13636385
Looks pretty easy to find and do anon, wouldn't bet on it
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>>13633747
Bashing clowns on trains
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>>13634526
extremely overblown by some brainlet coping about his reject email.
but yes, good luck getting your resume past the recruiter if you went to a pleb school. my sympathies

what's your slope, /qfg/?
>>
>>13633537
save yourself months of reading theory that 95% of you won't use and just get good at python, specifically pandas, numpy, scitkit, statsmodel, scrapy, tensorflow and/or pytorch. Find a bunch of data, be aware that ALL the low hanging fruit is pretty much taken, price data has been banged to death for 20+ years for example. That doesn't mean there aren't smaller niches that can be taken advantage of and new or under utilized data sets to exploit, opportunists exist that aren't worth the time of the big boys so your playing against other smaller guys like yourself. For example I know one guy who trades only a single niche financial product in a single industry who makes about $5k-$10k per month like clockwork, that's the max profit to be made from that opportunity without distorting the market because it's that small a pool.
>>
>>13635737
At this point I’ll be starting my own fund
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>>13633626
Brypto is not that regulated, so insider training is still viable strategy. Here is your tree, that'll be 5 btc
>>
How do I get people to follow my alt Twitter :(
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>>13638701
Do you mean your average data scientist who knows how to use libraries can become a quant?I thought being a quant required some mathematical knowledge.
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>>13635145
Study CS.If you want to change your mind later then CS would help you.
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>>13639303
and math wouldn't? i don't want to do an undergrad in cs for one reason only - i've heard that it's far less mentally engaging than math
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>>13635737
You may not like to hear this but MBAs run this world even though it is a scam degree and everyone knows it.
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>>13639307
Math does not help as such.Ofc you could grind Leetcode on the side to get an SDE job but if you find that you do not like it then things can get difficult.
As far as mental engagement goes,you can make CS as engaging as you want.Look into discrete maths and graphs.
Maths is mostly only useful after a PhD.
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>>13639323
this is exactly why USA needs to be nuked
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>>13639343
The whole of corporate is on this scam.MBA managers go to MBA schools to hire more MBA grads like themselves and the scam continues.
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>>13639287
don't listen to the coping codemonkey
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>>13635155
Of course it is. Don't think for a second that there are no intelligent investors on Wall Street. The problem is that all active investors are intelligent, so they cancel each other out.
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>>13638160
Either good school or having contacts
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>>13639352
you sound like you're 19 or 20 lmfao
most people who get mbas get them when they get promoted to an executive role
it's incredibly difficult to get a top tier managerial job with just an mba
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>>13638160
What does slope mean here?
>>
>>13639307
Personally, I would choose CS and Stats. If your Stats department is any good, they'll cover rigorous notation and proofs, and that'll will at least prepare you to learn areas in formal mathematics where you see fit.

I came from a Math undergrad, and most of the classes aren't directly useful in modern Quant. Knowledge of Analysis and PDE's can be useful for option pricing, but that's about it.

Again, aside from option pricing, most firms use statistical rather analytics models, so Stats would be wayyyyyyy more useful on the job.
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>>13639591
This is not true in general.Most MBA programs have work ex requirements of 3-5 years.Nobody ends up close to executive roles in 3 years.
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>>13633544
Because /sci/ don't know shit.
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>>13639963
And you do?
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>>13639307
Seconding this >>13639827 anon.
Although I will add that certain schools have a statistics+computer science+data science undergrad which would be even better (usually they have some econ/finance electives to make it more quant).
Usually goes by the name of "BSc in Statistics and Data Analysis" or stuff like that. It offers you plenty of flexibility in choosing a masters later, if you like statistics more or big data or some other part you can specialize in that. I would have picked this type of program if I was 18 again.
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>>13639827
Statistics and probability are math. It is a subset like numerical methods or number theory.
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>>13633401
fuck off
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>>13633537

I think you should add Advances In financial (buzzword) machine learning https://www.amazon.com/Advances-Financial-Machine-Learning-Marcos/dp/1119482089
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>>13640726
Also this https://web.stanford.edu/class/stats369/syllabus.html is useful for high dimensional statistics
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>>13640726
>>13640746
Based suggestions, will do
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>>13640726
Also Machine Learning for Asset Managers from the same guys, lighter but nice read
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>>13635145
>but then I've seen this interview which suggests that CS degree is preferable.
nah bs, you will understand stats and probability better if you study math. picking up a few programming languages is easy.
Read "The Best Jobs of the 21st Century?
Mathematicians and STEM Careers".
Don't study what you want unless it's truly a need to get the job you want, for example Medicine.
>What do you guys think? I've heard that undergrad degrees in CS suck
They'd be right. The correct CS degree will be short of being Math by a few courses, but most CS degrees are just Software Engineering. Mathematicians and Statisticians are more of a rare specimen, so if the employer is looking for diversity in a resume you have the odds of getting chosen.
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>>13637530
Based
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>>13640067
And i do your mom.
>>
Anyone here got an implementation of (and can explain) Curren's method for pricing Asian ARO's?
>>
>>13633747
jewish banker
>>
Is it possible to have a good work/life balance as a Quant? I don't want to be a slave all my life.
Plus do you guys think it is worth to get a PhD in finance mathematics for a quant?
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>>13642485
Buy side quants basically work 9-15. Maybe you should look into that.
>>
Stop making these threads on the wrong board.
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>>13642869
These threads are good. You can fuck off.
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>>13635850
lmfao
another econcel thinking he knows anything about finance
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>>13642859
More like 8-17, still acceptable if you ask me
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>>13633626
I don't think his strategy has anything to do with quant finance.
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>>13642347
Can't find any non-paywalled paper about it
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>>13635145
Don't fall for the Physics meme like I did.
>>
Someone post some good resources for Black-Scholes and/or Brownian Equation

Feeling like a brainlet rn lads
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>>13634501
Here you go anon

https://mega.nz/file/qOJiWTKJ#7T_il1zS_yHTHfDHvEI9GzYBaG6j9K9CnwaS4tXz7lI
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>>13643580
>https://mega.nz/file/qOJiWTKJ#7T_il1zS_yHTHfDHvEI9GzYBaG6j9K9CnwaS4tXz7lI
Thanks anon!
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guys, im a student and i like testing things...
have you ever tried using mixtures with markowitz portfolio selection? does it make sense? in other words, can i use the weights of the mixture of mg to "weight" portfolio quotas without ruining the minimization of the volatility? ex. i run optimization with the first set of gaussian parameters, then the second etc... and then use the weights of the mixture to weight portfolio quotas... im doing some tests anyway -
>>
>>13643534
didn't LTCM (ironic name) explode using those retarded equations?
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>>13643580
what's inside?
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>>13644893
Everybody uses them though, with some modifications
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>>13644901
Take a look lmao.
It's the same stuff as the drive in
>>13633537
>>
>>13633537
i won a sweatshirt from Dimitri, he's a cool guy
>>
>>13635145
Know nothing about quant work but to me it seems you need a basic understanding of how programs functions low-level, as well as basic data structures/programming techniques, if your aim is to write decent hpc code. You definitely don't have to be a compsci major to achieve this, but a few courses would definitely help I reckon. Namely: object oriented programming, one or two courses on algorithms, basic computer systems (C to assembly), and operating systems.
>>
>>13642869
This is one of the few threads that aren't complete dogshit schizo/racebait/pseudoscience left on sci
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>>13633544
Those are three course which are fundamental to being a computer scientist. Engineers/physicists are already code monkeys fresh out of school. One month on each book is all it should take.
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>>13639242
if you can just get rich insider trading crypto, why bother learning all this math shit?
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>>13647894
Well firstly you need some starting capital to do that, but besides people like spending time doing stupid shit. See previous thread somebody suggest this quantsart that takes few years give you no credentials, and the stuff is no longer that popular.
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>>13643534
What exactly do you want to know? Like do you just want an intuitive derivation of BSM or are you trying to learn the associated Stochastic Calculus?

>>13644893
No BSM is used by the sell-side for pricing vanilla European options,

Even though LTCM had some of the names behind BSM at the helm, it blew up when some of their leveraged positions collapsed after the Russian Financial Crisis.
>>
bumper
>>
>>13648750
>What exactly do you want to know?
I wanted to know what the probability of a movement in the next time interval given the past volatility of a stock price. But I realized how retarded the BSM is by assuming a constant distribution in options pricing which causes volatility smile. I'm currently reading stochastic calculus.
>>
>>13633554
>>13633618
>>13647878
Not who you replied to, but theory of computation is literally irrelevant to you.

Take all the algorithm design courses and books you want, sure. But context-free grammar and the pumping lemma are purely CS, and mostly on the theory side. You're not gonna be making your own compilers as a quant. Learning assembly is pushing it too much already.

Here's what you need to learn:
>intro programming
>object-oriented programming
>discrete math
>data structures
>algorithms
Anything more and you're basically starting to do a CS degree.
>>
>>13650835
But what about the math?
>>
>>13650885
Idk what kind of math you need in finance.
I'm just a CS grad/math grad student who randomly dropped by.
Certainly not topology and number theory, though.
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>>13650894
Oh. Well math is important too according to what's been said in this thread
>>
>>13650885
OP has literal link about all the math in quant.
>>
>>13651064
I know what OP posted. I was just asking the other anon that question because I found it strange that he didn't mention any math
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>>13651168
Oh ok
>>
>>13651168
For programming, I did mention discrete math. In particular:
>solve recursions
>basic combinatorics
>logic (boolean algebra)
>proof techniques (direct, induction, contradiction, contrapositive)
>graphs
>modular arithmetic

Also, for algorithmic analysis:
>logarithms
>limits
>derivatives (in case you need l'Hopital)
This is important for Big-O notation, which tells you how slow your algorithm is.
>>
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>>13650835
Never agreed with people complaining about this shit.
If you wanna learn CS this stuff gives you context and makes you a better coder overall.
I've never met someone who is brilliant at what they do that takes only the required bullshit courses and calls it a day, indipendent digging and curiosity about how things work is a must.

> but it's not what you normally use in your job
So what? More knowledge is always better than less knowledge, we're supposed to be /sci/encemen for god's sake
>>
>>13651570
Dumping too much shit (necessary or otherwise) on people who know nothing about a field that isn't even their own will make them feel overwhelmed. It's gonna be daunting and discourage them from doing anything at all.
If you want to *help*, don't throw a tall order like that at them. KISS.

Let them start small, and once they're comfortable and WANT to know more on their own, then you can guide them. But ONLY then.

>More knowledge is always better than less knowledge
"More knowledge" means dedicating more of your time. It's not without cost. They're already going deep into mathematical finance. Don't try to make them waste time they may not have, just to study the entirety of a completely different field.
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>>13633626
why do people unironically follow these lolcows? take a lottery with 10000000 players and everyone has 20bucks... 50% doubles the endowment and the other half gets eliminated, then repeat until you get 4 guys or 1 guy. They'll be multimillionaires but still retards. it's just survivor bias, you can't consistently beat the market with a single strategy or some good intuitions. it's pure luck.
>>
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>>13651780
Based fooled-by-randomness poster
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>>13651653
Fair point anon
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>>13651780
>>13651808
I was like this after reading fooled by randomness. Then I got a job at a hedge fund and yes, you literally can just pull millions from a market consistently.
>>
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>>13651820
you can if you are a fund in fact, because you have immense capital and resources (different people with different skillsets and specific strategies which you hedge one with another etc... etc..). and still many funds fail. even when some of them consistently "beat the market" the returns are just slightly higher than your usual ETF in the long run on average. no 50k bucks r/robinhood or whatever can become millionaire with some robust method which isnt just pure luck
>>
>>13651820
It's a mix. There definitely are ways to beat the market, but there is also a lot of bullshit around.
As >>13651866 mentioned, if you're a fund or similar you can do it, but the VAST majority of these crypto traders are just examples of survivorship bias
>>
>>13651866
>>13651895
((They)) don’t want you to make money so they perpetuate this myth you need millions and that the market is efficient. It’s easier than you think :^) or at least I was surprised.
>>
>>13651895
>There definitely are ways to beat the market
No there aren't, you can't beat the market. It's all survivorship bias. The market ALWAYS wins.
>>
>>13651909
this post is bait
>>
>>13651924
Post job & portfolio
>>
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>>13651909
Doing it reliably and on a big scale takes expertise that is very hard to acquire individually.
Don't mistake your bull run gains for skill
>>
>>13652032
>>13652012
(<;
>>
>>13651924
>muh precious market is efficient!
Academics just go.
>>
>>13651780
crypto is cyclical. Just play 10% of your portfolio with random blind darts, and the rest hold the top 10 by market cap; in 10 years, you'll do just fine
>>
>>13633626
>soros profile pic
scammer confirmed
>>
>>13651866
> that pic
How do I read Hull? I've tried starting it but it's so fucking big, I lose motivation after a few chapters
>>
>>13655064
just sit there and read a chapter every day, take notes and three hours of your time... you shouldnt mind the length of the whole book
>>
>>13633385
Anyone ever messed around with training a reinforcement learning agent to trade? or just machine learning in trading at all?
>>
>>13652028
not him but you really cant. The only outlier is berkshire hathaway, but that's also because they buy major positions in their companies so they can organize it however they want. I work in finance and it's pretty agreed upon that capital markets are momentum driven. We don't expect to make money in bear markets, but we do expect gains in bulls.
>>
>>13638701
>>13639287
depends on the role, but yes quant research and data science are generally quite similar and you can move between them if good. In general QRs have much more business / product knowledge for their specific niche. I.e. think someone who has all the DS skills but knows futures and future related strategies inside out would be considered a QR. From my understanding, DS are hired by big funds primarily for alt data R&D because you only need a generalist skillset to forecast returns.
>>13639398
sorry to break it to you, but pricing quants barely exist anymore
>>
>>13640726
this book is retarded and del prado has never made any real money in his entire career
>t. old PM worked with him for several years in same fund
>>
>>13642859
>Buy side quants basically work 9-15
this is just not true lmao
>>13643188
>8-17
yea more like this, probably 8-19 at start of career
>>
Anyone read Spitznagel's latest book?
>>
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>>13658528
Really? Which fund anon? Got any stories about him?

Assuming you're not bullshitting, how do you get into a PM role? Lowly quant dev here
>>
guys, i am trying to trade on forex with metatrader 4, what are your best method for forex ?


so far the candles seem fucking random and i can't predict a trend, either on low timeframes or high timeframes. fuck it's so hard.
>>
>>13658589
Don't daytrade anon, it's a sucker's game unless you're an actual professional.
Do long term stuff and get skills by working at a reputable fund if you wanna go this route.

Or not, we're all degenerates here kek
>>
>>13658576
>how do you get into a PM role?
bad wording on my part - my old PM (I've since left). I was a quant analyst on his desk and we talked about del prado a bit.
>>13658576
>Really? Which fund anon? Got any stories about him?
obvs can't say fund cause I'm slagging the man off, but I know that del prado has recently been hired by ADIA to build a massive team from scratch in Dubai. Perhaps he will finally be profitable this time kek.
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>>13658704
All good anon, had never heard bad shit about him before
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>>13650894
I think some people are trying to use algebraic topology of a dataset to determine the required architecture of the NN. I think that accompanied with some insight of VC dimensions could end the "stack more layers" meme.
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>>13656560
The people at numer.ai regularly use machine learning to predict stocks(though, on obfucated data). They use supervised learning(mostly tree based models, neural networks), have never heard of anyone using RL. I think in order to use RL effectively you need a "simulator" of the reality and then optimize on that; simluating the market is not so easy i guess.
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>>13660929
I've tried using supervised learning models before, but didn't have much luck. I basically just got a very complicated moving average. I'm in the process of creating an environment for a RL model. we'll see how it goes I guess.
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>>13661176
Wouldn't you need a very big amount of data? Seems kinda pricey and in general we don't actually have that long of a history to go on
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>>13662053
You're probably right. I think the best solution is to use smaller intervals over large periods of time. I don't really think its possible to accurately simulate the market. If it is, then I'm nowhere near capable of doing it on my own.
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>>13656560
Not personally but my close friend does, it's hard to get it accurate. So far they've seen some success with predicting the price of a single stock, just slightly better than break even, still loses out to index funds.

>>13660916
That's actually really interesting, currently taking a course in topology, coincidentally.
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>>13660916
Sounds incredibly based, any details on how it could work?
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I need help /sci/ how do I turn this shit around
picrel is cutoff, but I'm holding 100 shares of $HOOD too
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>>13635685
Seconded, and Steve was my advisor. Read Oksendal first to get the crux of the basic results. Then, if you need to pass a qual, read the generalizations in KS. I wasted a better part of a year trying to March through KS. If I had just read O first, I could have gotten through both in the same amount of time.
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>>13658529
And god help you if you’re on an f/x desk.
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>>13665252
What's the hours there? I imagine it being open 24h would lead to some bullshit wlb
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Does anyone know anything about Radix Trading? Can't find much
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>>13633385
But does this shit actually work or are you all just convinced it works because someone somewhere got lucky enough to make it look like it works?
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>>13633385
is number 3 actually not bull shit?
I have a math degree (but i'm no genius) and im wondering if i can actually do better than some index fund
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>>13633385
>should actually be able to make money
So, gentlemen, how much money did you make from investments or some shit? Or by "make money" you mean working like a monkey for some company for a salary?
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>>13668388
That pic is bullshit kek
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>>13668120
It can work but it's way harder than retail algotraders make it out to be
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>>13656560
yes, i couldnt get it to work though. Spent over a year trying
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What kind of quant frameworks are there for optimal position sizing?
I'm working on a model that aims to categorize capital amounts into "degrees" that then will (hopefully) inform an investor how to take an appropriate position size to advance to the next degree, with the intent to escape "n-digit hell" as quickly as possible.
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>>13670968
Have you looked at the Kelly criterion?
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>>13671320
yea, i know about kelly. I don't like using it in my trading though because obviously knowing the winrate of a specific trade is basically impossible to determine and/or the fraction is too low to the point where it's not really worthwhile to take the trade (anecdote: there's a trade I can make that'll finally push me into being a millionaire. The stipulation is of course I have to make that same trade over 1,200 times and each trade takes a month or two lol).
It's nice theoretically, but it ignores a lot of other trading factors. I'm in search of more practical theories that aren't "le arbitrary no moar than 2% in every trade"
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>>13669502
It seems interesting and could be fun, but nowhere have I seen anything to convince me it's not just applied magic voodoo to completely 100% random events. Just get the "bro trust me" YouTubers. Then there's the actual quants but they never actually mention anything about it either.
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>>13670968
>What kind of quant frameworks are there for optimal position sizing?
almost always min(maximum leverage available, size whose execution cost/market impact == cost of capital + edge)

basically: go all in, pussy
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does anyone want access to my trading algo, it has a sharpe of 12 and 82% win rate
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>>13672738
Yes
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>>13672770
You got telegram?
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>>13672738
Let me guess, on a backtest?
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>>13671868
honestly i feel like quants are there to hedge rather than to look for returns, trying to do good at benchmarking, but that's it
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>>13635145
>which suggests that CS degree is preferable
No it doesn't. He said programming is the most important skill. A skill is useless without knowledge.
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>>13671417
>I don't like using it in my trading though because obviously knowing the winrate of a specific trade is basically impossible to determine and/or the fraction is too low to the point where it's not really worthwhile to take the trade
You fucking retard. The outcome of any specific trade is impossible to know, the usual outcome of your algo on the types of trades given the parameters of your algo is predictable based on its history which is what Kelly is for.

It's like saying that a specific basketball game is unpredictable, no shit, but your method of predicting games is what matters and what should be measured.
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>le stochastic calculus meme
Welcome to 1980
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>>13673349
I have no idea what they do honestly. I've read the whole thread and still have no idea what they do.
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>>13673698
I can tell you don't trade. Here is a small list of those "other trading factors" I mentioned that you conveniently left out in your post:
>Corporate events
>Broker commissions
>Exchange/CBOE fees
>Bid/Ask spreads
>Volume + Liquidity + Open Interest
>Dividends, more generally Assignment Risk
>Implied Volatility, current and future
>Volatility Smile, more generally Black Swan Risk
I could go on, those are just off the top of my head that the naive Kelly Criterion fails to consider. Sure, you could probably fit a model to include all of these and more (naive kelly will actually tell you to bet a fraction of its fraction Just In Case [tm]), but is it really pragmatically worth it at that point?
I believe the answer to that is no.

>>13672542
jej no wonder hedgefundies go broke. I'll still put in 10% to SOXL tho.
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>>13674391
> el no sabe
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>>13674692
people use half or quarter kelly all the time in the industry
depends a lot on types of strat
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>>13674692
I have a successful algorithmic trading bot on google cloud using Go and MySQL.

>Corporate events
>Broker commissions
>Exchange/CBOE fees
>Bid/Ask spreads
>Volume + Liquidity + Open Interest
>Dividends, more generally Assignment Risk
>Implied Volatility, current and future
>Volatility Smile, more generally Black Swan Risk
Did you just copy and paste a bunch of random shit from your shitty quant class or something? The fuck does the distribution of the black scholes model for options pricing have to do with implied volatility of a stock when it comes to algo trading crypto, or algorithmically taking long positions and assessing when to sell? I mean, I guess the logic behind BSM which is just basic stochastics is useful I'll admit, but kek.

I'm literally a NEET who knows this shit by autistically reading math and economics books enjoys programming and have success at this.

You first have to assess risk and make a model to use Kelly anyway, bankroll management should be the last thing on your mind when designing.
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>>13675011
So what did you do to teach yourself and find the confidence that what you are doing actually works and isn't luck? I'm neet'ing. I need more sources of income and if there's a way to mathematically approach the market that sounds fun. Fundamental analysis/sentimental is fun for long plays, so might as well try something for short.
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>>13673202
nope its live im already a millionaire
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>>13672738
yes anon, do share.
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>>13675374
You need to have interest in:
>programming and managing data/creating DB tables
>Mathematics, mainly probability theory + stats with some time series/stochastic calculus
>Economics, both heterodox and orthodox economic theory.

I'd say economics then programming are the most important one out of the three. Don't be closed minded with economics either, I've literally read Capital Vol 1, Conquest for bread, and the Unabomber's theories for fun. You shouldn't approach algorithmic trading starting from math first imo. If you're doing sentiment analysis then I'd even say start reading linguistics and natural language processing shit.

As for the luck stuff, my model has about 4 different parameters that can be adjusted with varying ranges for each one. The way that I tested it was run through all possible combinations for all parameters and see which one has the best results with hundreds of backtests with existing OHLCV data that I downloaded. I then use the results of that to then compute the amount of successful/failed investments and the amount the successful ones profited. I then use that to compute the Kelly.
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>>13675419
checkout my friends algos for sale, I still have to create the front end and backend to automate my algos signals
>https://alphahub.us/algorithms/17
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>>13675011
>Did you just copy and paste a bunch of random shit from your shitty quant class or something?
>I'm literally a NEET who knows this shit by autistically reading math and economics books enjoys programming and have success at this.
anon, I...
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>>13675534
Interesting. Sounds pretty fun! I mean if you can actually make money it could be fun to learn. I'm not in a position where I can learn for fun anymore. Everything I do needs to be for the sake of making money.
>>13675933
Your Algo seems a lot better tho anon
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>>13633401
You give /biz/raelis way too much credit, too many of them are retards that weren't even able to pass college algebra.
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>>13676412
/biz/ is a cesspool of retards and pajeets. You can't have a discussion outside of crypto there or even Blockchain in general. It's just a shitcoin meme advertising board
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>>13676404
i havent built my website yet, coming soon
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>>13676561
Could you post your earnings so far from running it?
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>>13633385
>he think he can math the market
anon, I...
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>>13647777
quant quads

quantds

checked
>>
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What do you think about picrel? Is it based or are there better books on market microstructure?
>>
Did anyone archive the last thread?
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>>13678520
explain why i can hedge efficiently a portfolio of stocks with futures using capm if i cant math the market



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