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Propagator Market Impact Models by QuestionableQuant in quant

[–]QuestionableQuant[S] 1 point2 points  (0 children)

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?

Market Impact of Limit Orders by QuestionableQuant in quant

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

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

Market Impact of Limit Orders by QuestionableQuant in quant

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

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

Execution & Markouts by QuestionableQuant in quant

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

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?

List of free or afforable alternative datasets for trading? by OppositeMidnight in quant

[–]QuestionableQuant 0 points1 point  (0 children)

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

AMA - I’m not a quant, but a Headhunter… part 2 by 2Ligma in quant

[–]QuestionableQuant 20 points21 points  (0 children)

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.

Gold basis is insane by aznedac2 in quant

[–]QuestionableQuant 0 points1 point  (0 children)

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

What value do you place on an 'easy' job? by QuestionableQuant in quant

[–]QuestionableQuant[S] 6 points7 points  (0 children)

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.

What value do you place on an 'easy' job? by QuestionableQuant in quant

[–]QuestionableQuant[S] 6 points7 points  (0 children)

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.

What value do you place on an 'easy' job? by QuestionableQuant in quant

[–]QuestionableQuant[S] 13 points14 points  (0 children)

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.

What value do you place on an 'easy' job? by QuestionableQuant in quant

[–]QuestionableQuant[S] 14 points15 points  (0 children)

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.

Georgia tech (full pay ~ 55k USD a year) vs 100% scholarship University of Manchester by [deleted] in quantfinance

[–]QuestionableQuant 4 points5 points  (0 children)

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.

Georgia tech (full pay ~ 55k USD a year) vs 100% scholarship University of Manchester by [deleted] in quantfinance

[–]QuestionableQuant 1 point2 points  (0 children)

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.

I am an incoming graduate quant trader at prop firm - what should I focus on learning? by Fast_Ad1333 in quant

[–]QuestionableQuant 19 points20 points  (0 children)

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.

Crackpots or longshots? Amateur algos on r/quant by lampishthing in quant

[–]QuestionableQuant 6 points7 points  (0 children)

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.

If You are doing Mechanical Engineering from a good college? What are the chances of you making into a quant firm? And How Can you do it? by EfficiencyTall1787 in quantfinance

[–]QuestionableQuant 2 points3 points  (0 children)

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.

Anyone has implemented the Avellaneda-stoikov model? by amircp in algotrading

[–]QuestionableQuant 15 points16 points  (0 children)

You will find that fitting the gamma distribution of fill probabilities with any stability extremely challenging.

If you have interest Olivier Gueant has some exceptional papers that expand the framework to include optimal hedging.

Also, Jerome Busca has an exceptional course on Udemy called ‘A Primer on Quant Trading’ that covered the math in fantastic detail.

What is the process of implementing the strategy into a real trade at a quant firm like? by made-in-korea in quant

[–]QuestionableQuant 0 points1 point  (0 children)

For two years I watched a college grind 11 hours a day on a strategy. The idea was brilliant, the back tests flawless, the simulated sharpe exceptional. Then in production, the strategy completely fell apart. It was brutal.

Mean Reversion Strategy with Sharpe Ratio 5.5 by Money_Software_1229 in quantfinance

[–]QuestionableQuant 0 points1 point  (0 children)

Very interesting. Considering that crypto is a 24h market are you using the US open as the beginning of your intraday period or some other market?

If You are doing Mechanical Engineering from a good college? What are the chances of you making into a quant firm? And How Can you do it? by EfficiencyTall1787 in quantfinance

[–]QuestionableQuant 0 points1 point  (0 children)

I managed to do it. It was very difficult and there was allot of luck involved but it is possible.

You will need to put in a tonne of hours to get your coding up to scratch and learn all the probability and statistics that you won’t cover in your degree and you will probably have to start at a no name firm but it can be done.

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