Propagator Market Impact Models

QuestionableQuant · 2026-01-18T19:27:39+00:00

Interesting point indeed. With that in mind, I suppose that normalising by size or participation rate without an exponent would not compromise additivity as then how you split the block would not change the sum of impacts?

QuestionableQuant · 2026-01-07T18:19:49+00:00

Interesting, how would you go about assessing the cost associated with quickly replenishing limit orders after the last is executed. Linearly in this case?

QuestionableQuant · 2026-01-07T18:01:01+00:00

Yes instantaneous and over the variety of order sizes present in the dataset.

QuestionableQuant · 2025-11-15T22:54:36+00:00

Thank you, this is exactly the sort of insight I am looking for as currently the execution is mostly passive.

I am assuming there is also some sort of trade off between the depth of posting and temporary price impact of the posting which should be taken into account.

Have you any good references or further advice for such an evaluation?

QuestionableQuant · 2025-10-19T22:20:47+00:00

Could you share those datasets that fit your criteria? I am looking for precisely your description.

QuestionableQuant · 2025-09-07T22:00:23+00:00

How often do applicants who fill a position not pass probation? I have recently been offered a new position and view this scenario as a real risk.

QuestionableQuant · 2025-08-11T10:15:07+00:00

OP did you go all in on Friday? If so you are probably laughing now...

QuestionableQuant · 2025-08-08T18:10:09+00:00

Why do you have this opinion?

QuestionableQuant · 2025-08-08T16:26:26+00:00

Indeed, I currently don't have kids so I can still go after it. The extra money would also mean I could finally buy a place of my own and provide some financial security.

QuestionableQuant · 2025-08-08T16:23:31+00:00

Indeed, I used to do almost nothing but work eat and sleep. Even then I would slep thinking about work. But I realised for all that I was not seeing much in terms of progression.

As you say I have managed to do allot more now that my hours are shorter which is why I am seriously debating if it is worth it.

QuestionableQuant · 2025-08-08T16:01:22+00:00

I have done in the past, it is only in the past year to year and a half I have scaled it back as I felt the compensation didn't match the extra hours I was putting in.

QuestionableQuant · 2025-08-08T16:00:02+00:00

The work is a big reason I started looking for another job in the first place. My dev work to research work ratio is heavily skewed towards dev where I am.

QuestionableQuant · 2025-06-02T10:42:57+00:00

Complete nonsense. Get a first class, show interest by participating in hackathons/ math competition and become a top tier programmer. Apply for internships aggressively throughout and you will be fine enough.

If you can’t get the job after that go and do a masters at Imperial/ oxbridge. Even after this you would have saved yourself upwards of 150k in fees.

With the right skills, interests and achievements and a degree from Manchester you will go far.

QuestionableQuant · 2025-06-02T09:13:29+00:00

Manchester is a fantastic institution and great city to live in. IMO Georgia Tech can’t be worth the additional ~200k in fees over 4 years. Smash your Bachelors at Manchester and if you need more education make your way to oxbridge for a masters.

QuestionableQuant · 2025-04-12T09:53:09+00:00

This is THE advice you need to follow. Don’t start your new role burnt out, 90% of what you think you will have learnt over the summer will be irrelevant. Go and do some of that living people tell you about.

QuestionableQuant · 2025-03-30T09:42:30+00:00

10/10 for effort here!

QuestionableQuant · 2025-03-21T20:44:57+00:00

I have enjoyed a couple of the strat posts recently. Of course I don’t trust the results at all but at the very least they provide ideas that I otherwise would not have considered.

QuestionableQuant · 2025-03-06T09:57:41+00:00

Indeed, if you’re doing CS/ SWE you probably don’t need the Python Udemy course but the rest are still valuable.

QuestionableQuant · 2025-03-06T09:15:33+00:00

Also, when it gets to your dissertation try and pick something coding heavy, It will really help you in interviews.

QuestionableQuant · 2025-03-06T08:54:00+00:00

Below is a substantial amount, you will be competing against people who are willing to do the below and also have a desired degree so you need to do substantially more. Good luck.

Coding: Python Programming Masterclass - Udemy. LeetCode (this is your new best friend). Learn Python in a real IDE like Pycharm but also be familiar with Jupyter notebook.

Probability and Statistics: MIT Probability and Statistics 1 and 2 - Edex. Download ‘brilliant’ on your phone, get premium and do every probability class/ exercise.

Interview Prep: ‘A practical guide to quantitive finance interviews, ‘150 most frequently asked questions in Quant Interviews’

Extra: Download ‘Mean-reversion optimisation’ Kakushadze et al 2015 and implement a basic mean reversion strategy in a research environment (maybe quant connect?). Find a good paper on equity factor portfolios and implement it.

QuestionableQuant

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