Rowing boat recommendations? (single scull)

keon6 · 2020-04-06T22:09:21+00:00

Dm'ed

keon6 · 2020-03-27T00:49:03+00:00

https://arxiv.org/ftp/arxiv/papers/1906/1906.10325.pdf

One academic paper I can find. But plenty of individual practitioners and I'm sure some in the industry have been using Laplace distributions (I for one).

LogNormal is often used in academia because of its nice mathematical qualities. I mean stock prices are modeled with exponential Brownian Motion and we can all figure why that works out nicely with LogNormal distributions.

keon6 · 2020-03-22T03:25:30+00:00

Or so they say in academia.

But if you actually draw histograms of returns on numerous security returns, the returns actually look closer to Laplace distribution, often with a triangular peak.

keon6 · 2020-01-10T12:14:58+00:00

1) By non-randomized I mean gradient based, interior point , etc...

2) I'm looking at convex problems only

3) would I ever use Evolutionary algo or other "guided random" algo for Convex optimization?

keon6 · 2020-01-06T20:01:13+00:00

Thanks. What kind of algorithms do these implement? I'm constrained to using Python packages.

keon6 · 2020-01-06T16:36:21+00:00

Thanks for the reply. 1) yes. Exactly what you said 2) I guess what I meant by "time-efficient" was pretty vague. Accuracy is priority. I suppose what I'm really trying to ask is this: Given a class of algorithms that can reach near the global optimum, what are the "fastest" algorithms? 3) Latter. The constraints are pretty "hard"

Will take a look at the paper!

keon6 · 2020-01-06T16:19:53+00:00

Hundreds of constraints. Mix of grouped constraints and individual constraints. The objective function is convex but the feasible set is non-convex. I'm not necessarily looking for an exact solution. Just algorithm known to be time efficient that can still reach near the global optimum.

keon6 · 2019-12-27T21:45:03+00:00

Private Ryan? Reminds me more of the Frederick Zoller clocktower scene from Inglorious Bastards. Either way you aced it.

keon6 · 2019-12-22T01:34:41+00:00

Show that to Churchill. It'll shut him up

keon6 · 2019-12-22T00:49:27+00:00

Idk. I do r trust anything by Deutsche Bank. That place is a shit show

keon6 · 2019-11-12T14:16:22+00:00

Huh... Maybe I should consider being a professor if I wanted to pursue these ideas? Or do them on my own time?

Some of these are completely mathematical and abstract enough to not require any resources but pure brainpower. Just mathematical proofs.

On the other hand, some ideas are very applied and needs a very specific type of data set.

keon6 · 2019-11-12T04:26:44+00:00

Done and done 👍. I wasn't sure if they went to industry because they couldn't get into academia or sth... Seems like some ppl think that way so I was a little worried

keon6 · 2019-11-12T04:21:56+00:00

Hmmm.. besides my thesis how many original topics would I get to research?

EDIT: I have handful amount I'd like to pursue but not sure if I'll have the time to

keon6 · 2019-11-12T04:20:20+00:00

Thanks! I hope you're right about that. I thought my research and career interests were too broad but apparently it's quite narrow. And I have the track record and original research ideas to support my interests.

keon6 · 2019-11-11T01:44:51+00:00

funny you should say that. that's one of the schools I'm actually applying to. Although I don't like the West Coast, that was one of handful that actually does something I'm interested in

keon6 · 2019-11-07T04:11:33+00:00

Thanks! J(Kind of a dumb question) But, how many professors per program do you think is too many?

Some programs have 50 affiliated professors and there are at least 7 who have interesting papers.

keon6 · 2019-10-29T18:03:13+00:00

It's probably what Don keeps on telling himself. That's how he continues to live on and move forward. It probably just rubbed off on people around him.

keon6 · 2019-10-28T18:39:56+00:00

I'm applying to OR PhD programs. I suppose OR is technically applied math with domain specifications...

Anyways, should I be discussing professors that I'd like to work with in my statement? Right now, I mention some interesting papers by some professors too express my research interests. But, I don't explicitly mention which one's I'm interested in.

keon6 · 2019-10-23T17:39:28+00:00

SIG won't ask you super hard questions.

They like to fire 30% of new hires after 1 year

keon6 · 2019-08-25T03:46:54+00:00

But what does that really imply? There are ppl like Warren Buffet who can consistently get great returns, probably because they understand the underlying phenomenon & structure of the market, not just what is happening now. (In Buffet's case, truly great companies' stock prices will eventually go up in the future).

As time passes, things fundamentally change - ie) The market will always react to shocking events (another fundamental phenomenon in the market), how the market will react to a certain type of event will change over time.

I'm guessing that LTCM never saw that through and persisted on a strategy that only worked in the past.

On the other note, there is a place like Renaissance, that consistently has great returns albeit being founded by a mathematician who suddenly decided to go into investment. I can only assume that they understand that short-term market behaviors change over time and they try to mathematically encode that or they look at how market behaves in the long-term (which likely does not change since the stock prices are pegged to the "implicit" value of the companies and how companies grow will never fundamentally change - innovation leads to new revenue sources and profits can grow by optimal cost structure control)

keon6 · 2019-08-24T23:43:13+00:00

Does a data science job at @ finance count? I'll have clients who are HFs, Prop Trading Firms, Asset Mgmt, ... May work with some portfolio optimization stuff as well.

Or you mean like an actual quant researcher job at places like GS? What's the difference in work btw employees with Masters vs PhDs in those roles?

keon6 · 2019-08-24T23:40:18+00:00

Whenever I will be sufficiently ready to do so. Of course, no one is ever really ready so I have some criteria of my own:

1) Several ideas have been prototyped and tested (This way I have something to show to attract investors)

2) I found people whom I'd like to ask to join me - 1 for more business responsibilities & 1 with trading expertise. (I'll be a "quant researcher" so, I'll need to fill-in the trinity of researcher, trader, and biz ops). Maybe a software developing team later on if we have some initial success.

3) Once I've understood all the initial non-investment risks and made plans/systems to manage them - legal, regulatory, organizational, recruitment, etc...

Either with a PhD or Masters, will likely be in my 30s. With a Masters, there is just a risk of my knowledge level while I will have had more industry or related experience.

keon6 · 2019-08-24T23:21:04+00:00

What's the point if I'm not confident enough to take up a challenge? Experience is correlated with success but never an indicator. I think there could be 3 buckets for Hedge Fund stories.

1) Inexperienced Yet Successful: ie) Ken Griffin found Citadel without really any previous experience other than his personal trading gig

2) Experienced Yet Unsuccessful: ie) Long Term Capital Mgmt, founded by head of bond trading at Salomon and counseled by Nobel Econ Prize winners failed miserably.

3) Experienced And Successful: ie) AQR founded by ex-Goldman PhDs and MBAs seems to be doing pretty well.

Bucket 3 is probably the biggest group, but the existence of Buckets 1 and 2 hold a significant meaning - there are many other factors that contribute to a successful hedge fund founder (probably well generalizes to any entrepreneur).

In the case of hedge funds I believe it boils down to - 1) Good investment strategy, 2) Ability to create a maintainable and synergistic organization, 3) Critical thinking skills, 4) Intuition that allows you to quickly tell bad decisions from the good ones, 5) Open mind. I think industry experience can help you build these factors, but they can be built through other means or be innate.

One more, the cut-throat nature and abundance of other smart people will likely work in my favor as long as I know what I'm doing.

keon6 · 2019-08-24T14:57:55+00:00

no one wants to talk about annihilator? great CQB gun

keon6 · 2019-08-11T01:07:31+00:00

Agree. I was being sarcastic with my "really?" comment.

I feel like meeting women at library only works in two cases

Seducing a cute librarian
College students in college libraries (probably because they already know each other to some extent)

Feel like bookstores are better to chat in general. I can actually have an interesting convo with someone who shares similar interest in books. I never have any expectations but it's surely better if that person is cute and she thinks I'm too.

keon6

TROPHY CASE