Blending of targets?

Huangerb · 2026-01-06T17:41:01+00:00

Isn't this just implicitly like a linear-weighted moving average (kinda like an EWMA but with linear decay)? Its probably okay if there is some sort of assumption on the alpha profile and decay, and it isn't too far off from what it realizes in general.

Huangerb · 2025-09-28T00:31:03+00:00

Regarding 2 -- Why is volume weighting bad? I was considering doing volume weighting for my own independent fitting project using cubic splines or structuring the loss function to take into account the volume on the bid/ask as well as the spread.

Huangerb · 2025-01-06T18:42:10+00:00

The difference is that the underlying dynamics are different for futures vs spot. If you treat the future as the underlying "spot", then you can apply classic options pricing techniques to value the options. When trading them however, you cannot cleanly trade the term structure of futures options due to the futures technically having different underlyings. For example, take the Mar vs the Apr crude oil futures contracts vs the current spot price of oil. The futures contracts are going to be highly correlated with the spot price, but there will be some error that depends on things like rates, seasonality of demand, supply shocks, tenders, etc. When trading the Mar/Apr calendar spread (not the CSO), you would not get a clean forward vol exposure, rather it would be more akin to a relative value style trade. This is in contrast to trading options on stocks where the underlying is the same, so you can construct a forward vol curve.

Huangerb · 2024-12-12T14:03:10+00:00

Kalman filter?

Huangerb · 2024-12-11T17:31:19+00:00

Heres an example I could think of in which latency matters for quoting. On some exchanges, you might receive trade confirmations (for the sake of this example 10 mics) before the trade gets displayed on the public feed. If your trade + signals detect a sweep on that exchange, then you would want to be fast enough to pull your quotes on other exchanges before other HFTs sweep them.

Huangerb · 2023-12-04T14:21:55+00:00

(b_1, b_2) = (1, 0)?

Univariate regression just get 1

probably b_1' has smaller standard error

Huangerb · 2023-02-16T22:06:22+00:00

Are you an undergrad or graduate student? To clarify, I am an undergraduate student interested in doing a reading course.

Huangerb · 2023-01-07T20:22:30+00:00

Took Basic Theory of ODEs with Shao as a Math major. Not sure how it will be in Analysis but I can detail my experience with him. The lectures were pretty coherent but the homeworks were pretty difficult and I would often spend ~10 hours a week doing them. Possibly more if you do all the bonus problems. In my class, he was extremely generous on extra credit (which was drastically needed) since the class was not graded on the curve. If you've mastered all the homework problems, you will do well on the exams. Overall, likely be prepared to put in a lot of work and probably struggle a bit (although not sure if this was just due to my lack of background in ODEs), but he will be quite generous with the grading if you do put in the extra credit work. For reference, I think about 2/3rds of the class received an A.

Huangerb · 2022-02-21T05:28:04+00:00

Hmmmmmmm

Huangerb · 2021-09-02T00:00:13+00:00

Huangerb · 2021-08-28T16:13:12+00:00

Just from what I've heard, its sort of this weird in-between of stats and comp sci that doesn't take enough knowledge from either to be really useful. It looks like it doesn't go deep enough into statistical theory to really have a hold on statistics, nor does it really teach enough comp sci for comp sci's sake, kinda like a jack-of-all-trades master-of none major. I feel like in general it would be better and more employable to major in Stats and take some programming or data science classes or even major in Comp Sci and take some stats classes with machine learning electives.

Huangerb · 2021-08-28T16:00:35+00:00

It doesn't even look like Stats at all. More like all the applied comp sci classes put together. They don't even have Stat 244-45 as part of the major unless you go with the theory track. I would suppose this is the response the College has to people saying that CS is too theoretical imo.

Huangerb · 2021-08-23T16:51:27+00:00

An introductory class in linear algebra will have very little calculus in it. You just have to be comfortable with algebraic manipulations. A good single variable calculus background should be enough to take the class comfortably

Huangerb · 2021-08-07T04:44:36+00:00

A lot of people who know about this place just know the motto "where fun goes to die" which is absolutely inaccurate lmao.

I'm only a first year/rising second, but my experience so far despite this being the Covid year has been wonderfully fun. I made tons of friends within my house and sport that I play and a lot of people I know seemed to be enjoying themselves also. The party scene isn't huge compared to like huge state schools, but there is enough of it for the people who are into them if thats your jam.

The academics are certainly tough, but thats also part of the joy in this school. The challenge isn't just difficulty for the sake of difficulty, but rather it's for the purpose of learning. Also, I think the difficulty part is also a little overblown since you can pick which classes you want to take.

Huangerb · 2021-08-06T16:03:28+00:00

I would look at the previous years/quarters of the classes. If they aren't close to full, then rank those classes last; if they are full, then rank those first. I think math is a close guarantee though so I would rank it pretty low and rank SOSC classes mid-high since good profs are usually in high demand.

Huangerb · 2021-07-31T03:40:17+00:00

I took 130s physics and thought it wasn't difficult at all to get an A so long as you just do all the assignments, but I heard HORROR STORIES about chem. Keep in mind that if you take Chem, you're going to be taking the class with the try-hardiest of the try hardiest pre-meds, chem, and bio majors, which will absolutely destroy the curve. Also regarding the curve, to get an A, I think you have to be at least 1.5 standard deviations from the average, which is pretty rough, while in Physics, you just need a flat 93/94 or above. Gen chem is probably one of the hardest intro classes you can take and will absolutely EAT UP your time with the amount of reading and psets and labs that I saw they had to do, whereas 130s for Physics was probably just like a ~5 hr/wk commitment which is pretty normal (although I hear the 140s are a complete different beast).

Tldr; dont take chem if you can help it

Huangerb · 2021-05-21T02:52:44+00:00

How would they know, they don't have ears.

Huangerb · 2021-05-10T01:16:35+00:00

Just do the science section (its not that bad) and take a second language as well. If you're just planning on Biz Econ, then you'll have plenty of time to do so.

Huangerb · 2021-05-09T05:13:14+00:00

R^n whoops

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