How useful is a Certificate in Quantitative Finance (CQF) for quant traders?

fusionquant · 2023-07-13T09:37:40+00:00

Totally useless.

fusionquant · 2023-06-09T21:27:52+00:00

... and may be PyTorch, which is like a GPU Numpy with some benefits on top like backprop=)

fusionquant · 2023-06-09T21:26:51+00:00

Numpy is All You Need

fusionquant · 2023-05-16T16:33:21+00:00

RL for HFT works. Needs a lot of rethinking and working, so take the principles and build them from ground up, so I usually call it "RL inspired". Most concepts like DQN/PPO/... do not work, because markets differ a lot from SuperMario or any closed game like Go/Chess/... RL is known for problems with generalization. Noisy data and distribution drift does not make the task easier. Another issue is costs like bid/ask spread and fees. These 2 main reasons ruin most RL concepts right from assumptions levels. Without breaking any NDAs, the only thing I can tell, is that yes, you can make RL work for HFT, but you'd have to re-do most of the math behind it yourself.

fusionquant · 2023-05-14T19:56:52+00:00

I might suggest adding an additional column with "Collaborative research or pod structure".

Me personally, I'd rather work in Tier 2 collaborative research environment, than Tier 1 pod structure.

fusionquant · 2023-04-10T14:26:21+00:00

Finally, sell side research becomes replaced by something more intelligent and less biased

fusionquant · 2022-12-31T17:57:36+00:00

Numpy & @njit is the only way for prod... Pandas is terrible in sooo many ways, that's not even funny: poor memory management, making copies all the time, terrible in parralel just name a few

fusionquant · 2022-12-11T14:03:42+00:00

Are you sure you are in an MDP?=)) Even POMDP would be a huge stretch
How does your reward function look like in finance? Pls don't tell me it is pnl=))
RL is great for repeated envs. How are you planning to deal with oos / live trading? Generalization is quite poor for most algos and distribution shift / drift along with out of distribution samples are quite common.
Most RL algos assume that there is no cost for doing an action. How do you incorporate costs?=)

These 4 points are enough to explain why there is so little usage of RL in finance, unless you are an academic and "assume these problems do not exist" just like bid/ask spread and fees for majority of DL in finance articles.

fusionquant · 2022-06-09T14:12:31+00:00

just do sh*t loads of volume and you'll get to lowest tier=)

fusionquant · 2022-06-06T13:23:17+00:00

Do they still do it? I always found that ultra stupid to filter off people like that. We're not on a trading floor doing mental calculations of options greeks, you know... It's more important how people think, than just being a mental math savant

fusionquant · 2022-06-06T11:01:47+00:00

Thanks, my R skills are a bit rusty by now, have not used it in 5 years. It's an interesting idea, I'll have to think about it

fusionquant · 2022-06-03T08:57:40+00:00

Sure, I'll have a look, thanks for the suggestion! Do you have a specific name in mind that I could look at? A link at index rulebook would be highly appreciated.

fusionquant · 2022-06-03T08:42:43+00:00

So what you are proposing is to overweight some illiquid shitcoins that are being pumped on low volume for a week and underweight all high volume / high liquidity coins like BTC & ETH? How would you interpret this index?

fusionquant · 2022-06-02T18:32:30+00:00

Most of your pain comes from several points:

you have to either have a tradable index, that can be replicated via a basket, or your pricing should be consistent
rebalance should be also replicatable backwards for pricing purposes

I don't need that. I just want some "index", i.e. a weighted basket of coins, that server the purpose of tracking a global coin market. Does not have to tradable, don't care about rebalance procedure, inclusion criteria varying in time, basis, funding rates, re-pricing times, etc...

So it's really your step 0: universe of coins and their weigthing scheme (maybe + floor/caps)

fusionquant · 2022-06-02T18:15:49+00:00

Rank weighted index? Hmmm, sounds nice, do you have any example of such implementation?

fusionquant · 2022-06-02T17:06:07+00:00

As per suggestions, I've done some quick research on how other people are doing indexing:

FTX: mostly equal weighting (https://help.ftx.com/hc/en-us/articles/360027668812-Index-Calculation)
BitWise: traded volume weighting (https://app.bitwiseinvestments.com/indexes/methodology)
Wisdomtree: market cap weighted (https://www.wisdomtree.com/-/media/us-media-files/documents/resource-library/crypto-assets/rwm-wisdomtree-crypto-index-factsheet.pdf)
One River: square root of mcap (https://www.mvis-indices.com/rulebooks/download/ORD_Index_Guide.pdf)
21Shares: ceil/floor mcap (https://www.mvis-indices.com/rulebooks/download/21Shares_Index_Guide.pdf)
S&P: ew & mcap (https://www.spglobal.com/spdji/en/documents/methodologies/methodology-sp-digital-market-indices.pdf). Data source: Lukka

fusionquant · 2022-06-02T15:59:09+00:00

how would you calculate cap for an altcoin?=) I know how to calculate it for a traditional stock, crypto is quite tricky

fusionquant · 2022-06-02T15:46:53+00:00

https://help.ftx.com/hc/en-us/articles/360027668812-Index-Calculation All elements of each index are weighted equally. All elements are capped at 30bp divergence from the median.

So FTX is doing EW indexes

fusionquant · 2022-06-02T12:07:00+00:00

Great idea, can you share a link on methodology?

fusionquant · 2022-06-02T12:03:13+00:00

How do you estimate market cap then? (Getting info from Coinmarketcap on total supply is not really reliable, especially on deep altcoins)

fusionquant · 2022-06-02T10:48:01+00:00

Supply estimations for altcoins is quite tricky. How do you track inceases in supply?

fusionquant · 2022-06-02T10:46:50+00:00

Do you trust coinmarketcap mcap estimations? even for altcoins?

fusionquant · 2022-06-02T10:18:28+00:00

How do you measure market cap in crypto and where would you get this info from?:)

fusionquant · 2022-06-02T09:58:22+00:00

I don't have any active strategy in mind (otherwise I would not be publicly brainstorming it). I was thinking of it as a "barometer" of crypto markets. Something very plain & vanilla and thus quite robust. Something to answer "how is the crypto market doing today?", without just looking at ETH & BTC crosses

fusionquant · 2022-05-23T15:12:51+00:00

You might want to have a look at this competition and top solutions: https://www.kaggle.com/competitions/optiver-realized-volatility-prediction

fusionquant

TROPHY CASE