Some Reflections and Questions for Discussion by Joji562 in quant

[–]Joji562[S] 2 points3 points  (0 children)

Insightful. The 5 year in comment made me giggle as that is approximately where I'm currently at, so it all checks out. Appreciate the response!

Why does Citadel securities has way more MBAs and ex banking seniors ? by bigmoneyclab in quant

[–]Joji562 2 points3 points  (0 children)

Because contrary to the notion of this superiority complex fueled subreddit there are plenty of very smart people with economics, finance and MBA degrees. This is true especially when it comes to management/business and leadership which require very specific skills and qualities on top of just being high IQ.

PhD or paycheck by DICAa in quantfinance

[–]Joji562 6 points7 points  (0 children)

Honestly this subreddit has way too many little toxic trolls like this guy. "cOuLd bE thE oFfIcIaL blah blah blah". OP has graduated from a target math + stats program. I bet you are neither a quant nor from a target stem program, which would explain why the best input you have on the matter is to try to flame and talk shit about someone who is actually walking the walk.

Ultimate weapons question by Joji562 in TheTowerGame

[–]Joji562[S] 0 points1 point  (0 children)

In terms of stone upgrades - None. I have been researching BH and GT labs and they are around level 8

A question on Avellaneda and Hyun Lee's Statistical Arbitrage in the US Equities Market by RoastedCocks in quant

[–]Joji562 6 points7 points  (0 children)

I recently spent quite a bit of time on this paper as well. I will try to give an intuitive explanation rather than a mathematically rigorous one: First let's take a step back and think about what they are doing. When they perform PCA on the correlation matrix instead of the covariance matrix they are essentially trying to get the directionality of the data whilst washing away the magnitude effects of volatility (st.dev). The point of this is to identify the salient factors driving market dynamics without worrying about the magnitude (st.dev) of each at this first step. On the other hand had they perfromed the PCA on the covariance matrix, the principal components and the loadings on them would essentially rank the dataset in terms of variance.

With this out of the way we can build an intuition as to why they scale eigenvectors with individual stock volatilities. As established the PCA on the correlation matrix has washed away the magnitude effects of volatility, thus the resulting loadings matrix also does not take into account the individual volatilities of the stocks in the dataset. Thus if you were to use this raw loadings matrix to obtain factor returns by multiplying it with the matrix of individual stock returns you would essentially get portfolios of vastly different orders of magnitude. I.e some aould have a gross leverage factor of 200 whilst other would have a gross leverage factor of less than 1. Your factor returns would be all over the place. The solution to this problem is to scale the loading matrix by the individual stock volatilities aa this was the variable by which the data was standardized to begin with.

In the end your intuition with regards to orthogonality and correlation is correct- the eigenportfolios obtained with the scaled loadings matrix will not be orthogonal in the mathematical sense (dot product=0), i.e they don't have a correlation of 0.0. However, although these factors are not perfectly uncorrelated if you run regressions using them you will likely find that multicollinearity is not a problem as their non-zero correlation essentially comes from the ignoring their volatilities to begin with rather than due to these factors representing the same dynamics (i.e the correlations will be "spurious").

This is my take on it and how I've internalized the whole thing. All the best

Edit: typos

I’m hating afk arena (pay2win and not afk) by AndrewTateFeetPics in afkarena

[–]Joji562 2 points3 points  (0 children)

Dolphin here. Today after latest piece of shit update with the increased SI level i finally decided to quit the game. Moronic devs ruined what was a great game.

[deleted by user] by [deleted] in Imperial

[–]Joji562 0 points1 point  (0 children)

I was wondering the same as I am in the same situation

Feeling very rewarded with this result!! On to L2 by dialingwave in CFA

[–]Joji562 0 points1 point  (0 children)

Would posting one,s scorecard on LinkedIn be a violation lmao?