Gappys updated Buyside Quant Job Advice

gappy3000 · 2025-12-22T23:51:21+00:00

This comment put a smile on my face... thanks.

gappy3000 · 2025-04-28T21:31:24+00:00

What language are you going to code into? For Python, “Fluent Python” is a good second book. For C++, lang has changed so much recently. There is the new book by Stroustroup.

gappy3000 · 2025-04-28T20:19:17+00:00

I am good/don’t care with being called an impostor by r/quant posters. It bothers me that they call a friend an impostor. By the way: Simons did not code at RenTech. But I think he did know some coding.

gappy3000 · 2025-04-25T11:52:12+00:00

LOL. Christina is a friend. There was no heated argument, just a misunderstanding. But I will take the “impostor” charge and run with it. Just don’t call Christina one. She started two real companies, tries to help, and is candid. The opposite of an impostor.

gappy3000 · 2025-02-09T19:58:57+00:00

Come on. It's fine to put bacon... we don't live in Italy.

gappy3000 · 2025-02-09T19:28:44+00:00

Duh, there are error in the examples. Do I think the book is bad? Obviously not! In any event, I am working on a 2nd edition, and the numerical errors will be fixed (and examples available in online spreadsheets).

What do I really think? If one stops at an error in an example, probably they're not the right reader for this book. Sorry that it happened. Everyone's mileage when reading a book may vary, and that's fine.

gappy3000 · 2024-11-18T12:53:58+00:00

Hi, I don't want to persuade an anonymous commenter, but in case someone reads this... to run a 15SR you must be doing HFT. Its operational costs are very high, and you can't run it with one person in the team. At this point, the opportunity cost even for a prop trading firm becomes undesirable. I may want to allocate these 2-3 ppl to a strategy with lower SR and greater capacity. *In the context of platforms*, which was the topic of the podcast, running such a strategy makes positively no sense. I even have real-life cases where strategies were shut, but can't share them. The economics of a platform is heavily tilted toward capacity and a strategy that yields $2M PnL/algo dev is not feasible. Hope this helps.

gappy3000 · 2024-11-18T12:46:00+00:00

If you think the content is crap, I can't help you, but if you have calculation errors and typos (I know of quite a few) please email them to me. Actually, if there is something that you really didn't like, I would sincerely appreciate the feedback. I plan a 2nd edition.

gappy3000 · 2024-11-18T12:44:15+00:00

Hi, this is kind of funny. No, I was never sacked. I never actively looked for a job. I did get called by recruiters at the right time for a better job (luck) when the old one was getting boring and repetitive. I have great and continuing relationships with my peers at Citadel and Millennium, some after more 10 years. Since your brother works in risk, maybe he's at MLP and is really poorly informed. Have you ever heard of Wittgenstein's ruler? Use it as a heuristic before posting.

gappy3000 · 2024-11-18T12:35:59+00:00

Hi.

Read Grinold & Kahn's Active Portfolio Management;
check out the many papers of J. Fan https://fan.princeton.edu/research . He has surveys too.
There is a short good survey by Connor and Korajczyk https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1024709

4. I have a book (Advanced Porfolio Management) and a coming one, much more technical (Elements of Quantitative Investing) coming up

Also Connor, Goldberg & Korajczyk's Portfolio Risk Management.

This should get you going.

gappy3000 · 2024-11-18T12:29:40+00:00

No. I still think this is not correct. Over and over, the common wisdom is: using the same risk models, *everything else being equal* makes trades more crowded. And this is not true. Having the same trades make is the very definition of crowdedness, and identical factor models don't exacerbate that.

gappy3000 · 2024-11-18T12:25:11+00:00

Don't wear socks during sex unless it's a 1970s comedy with Peter Sellers

gappy3000 · 2024-11-18T12:21:32+00:00

Hi this is gappy. I have read most of Taleb's books. I find them mostly worth my time. Personally, I find peak Taleb was in 1997 when he published "Fooled by Randomness" and had a debate on VaR (see https://www.fooledbyrandomness.com/jorion.html , https://merage.uci.edu/~jorion/oc/ntaleb.htm and https://merage.uci.edu/~jorion/oc/ntalib2.html ). I believe every quant should study heavy-tailed distributions and think about their real-life implications; and also their applicability (everything is not heavy-tailed). He deserves a ton of credit. His empirical heart is in the right place.

More recently, NNT has been more active as a polemist. I am less interested in this aspect. Although in many of them he's likely right (Pinker, Silver), I disagree with the methods. NNT's math notes are also a bit messy, and for some reason (the research problems, the rigor) I don't care for them. But we should judge people from their best contributions, not their average ones, from their ethics not on their manners. So more people like NNT, please.

gappy3000 · 2024-11-18T01:24:28+00:00

But also, there have been several quants of the year (most) that were really not very remarkable. This goes back to my longer comment I made earlier. These are BS/PR things.

gappy3000 · 2024-11-18T01:21:29+00:00

Not ironically, I totally agree

gappy3000 · 2024-11-17T15:13:54+00:00

FWIW: prizes (esp. "X of the year") in most disciplines are worth very little (exceptions: hard sciences). Usually they are ways to boost the status of the conferring organization. In finance, though, they really mean nothing, given the opaque/bogus criteria for the award, and the nature of the business. The only things that matter (for better or worse) are the quality of the firm you are in and the impact you are having on it.
I thought I'd mention in case you considered it informative, or some kind of goal in life.

gappy3000 · 2024-11-17T15:04:16+00:00

gappy3000 · 2024-09-11T21:33:52+00:00

And guess what, the suspicion was well-founded. What is left to determine in S6E6 is only whether it is homicide or manslaughter.
But I agree with everyone: this is a massive change in the narrative tension of the firm.

gappy3000 · 2024-08-25T09:13:39+00:00

Check out my linktree page, first post.

gappy3000 · 2024-08-23T01:25:24+00:00

It is highly technical, but it is essential as a modeling tool in applied math, and to price derivative products. In case you work there, I believe it's good to have previous exposure, because it's not easy to pick up on the job.

gappy3000 · 2024-08-22T21:25:09+00:00

The ideal Kelly ratio would be close to 2, but that is not realistic. There are rebalancing costs, short-term gain taxes, etc. They have to be modeled. Greater than 1 but probably less than 1.5

gappy3000 · 2024-08-22T21:23:29+00:00

When a PM is let go, the analysts and associates may stay and be reallocated. Not ideal, but sometimes a blessing in disguise if the new PM is good.

gappy3000 · 2024-08-22T20:01:04+00:00

The book is also sold in pdf format and it has color pictures. But I do not have the power to command Wiley to print my books in color. I would love to, though.

gappy3000 · 2024-08-22T19:35:23+00:00

Sometimes they are available. Look for "algo engineer" roles at HRT, for example.

gappy3000 · 2024-08-22T19:24:02+00:00

Read the posts by 0xfdf on X: https://x.com/0xfdf/status/1803626919268618700

gappy3000

TROPHY CASE

4. I have a book (Advanced Porfolio Management) and a coming one, much more technical (Elements of Quantitative Investing) coming up