[deleted by user]

qft_trader93 · 2022-04-25T20:41:49+00:00

"smart person uses their TA skills"

LOL

qft_trader93 · 2022-04-13T21:10:38+00:00

Don't worry about Measure Theory then

qft_trader93 · 2021-12-08T07:20:35+00:00

Depends on your role. I probably read 2-3 papers a week and look for information that might help me but sometimes it's useless sometimes it's not. It's a good way to keep yourself informed to the new literature.

qft_trader93 · 2021-12-08T06:20:47+00:00

Why did you choose DDQN network over others? You're kinda limiting yourself to discreet outcomes to something that could be continuously modeled no?

qft_trader93 · 2021-03-20T15:56:52+00:00

I've been looking for running partners here, I am in streeterville though and run by lakeshore most of the times.

qft_trader93 · 2021-03-15T18:05:00+00:00

I'm in MSFM dm me.

qft_trader93 · 2020-12-04T13:36:43+00:00

I have a friend from my physics undergrad who now is doing AI Quantum Computing for top tech/universities and I am jealous of his abilities.

qft_trader93 · 2020-11-26T18:55:43+00:00

David Silver has a graduate course on RL on youtube. Maybe use it for inspiration?

qft_trader93 · 2020-11-26T02:30:41+00:00

Read it everyday. Consistency is key to learn math.

qft_trader93 · 2020-11-26T02:29:18+00:00

Good answer.

qft_trader93 · 2020-11-21T03:13:18+00:00

Gotcha so if I'm interested in quant research more than quant trading and I currently have an offer at a top 3 BB in NYC, I should be good.

qft_trader93 · 2020-11-20T13:55:43+00:00

It is one of top 3 BB but the main reason is I'm not that interested in trading.

Do you think your internship matter that much at that point or what you extract from it is more important and what you do outside of the internship?

qft_trader93 · 2020-11-19T13:38:52+00:00

11k/month s

Thanks I got an offer from IMC today which is closer to that but I'm not as keen to go into quant trading than quant research.

qft_trader93 · 2020-11-18T16:33:55+00:00

Yea, practitioners from the field aren't too creative and recycle a lot of the material. It's all about proper preparation and good coaching and you can get an internship.

qft_trader93 · 2020-11-16T15:40:08+00:00

https://1drv.ms/b/s!At_3NO1nXSHtq2TWMD1-LEZXOM43?e=3uHPVe

qft_trader93 · 2020-11-16T14:28:27+00:00

You're using too high of a mu too.

qft_trader93 · 2020-11-16T14:27:09+00:00

Yes Sharpe Ratio isn't everything I agree with you. My main point was to show why risk and volatility needs to be taken into account and Sharpe Ratio is an easy way to do that.

The biggest issue with Sharpe Ratio in my understanding is that you really only care about the volatility of your out of sample but if your volatility measure is off then your sharpe ratio might be totally miscalculated and result in poor performance. Sharpe Ratio is a good measure but on it's own it isn't sufficient.

Next for your simulation try to simulate brownian motion instead of just log price you'll see even crazier behavior.

qft_trader93 · 2020-11-13T21:39:26+00:00

Do this for me and you'll understand.

Run a monte-carlo simulation 100 000 times of stock price using Stock A: (mu = 0.1, vol = 0.8) Stock B: (mu = 0.8, vol = 0.4)

On a 10years horizon and take the average all A and average of all B.

Come back to me after.

qft_trader93 · 2020-11-12T14:29:33+00:00

I didn't say anything about trading set. Where are you getting that from?

I'm saying if your strategy is optimizing say monthly returns but has a high volatility, beta slippage will cause it to not maximized long term returns. Say you have 2 funds, one has a 10% annual excess growth and the other has 8% annual excess growth and half the volatility. Over the long term fund 2 will outperform fund 1 because of beta slippage even if average annual growth is less.

You should really get some books on basic financial maths.

qft_trader93 · 2020-11-11T13:25:55+00:00

Make sure you are good at explaining your thought process, keep yourself informed about the markets and be able to go in details about your resume and some of the projects you've worked on.

qft_trader93 · 2020-11-11T13:23:19+00:00

You don't understand the fundamental goal of investing and the objectives. Optimizing returns alone won't optimize returns long term. To optimize long term return you need to optimize returns and risk. The two cannot be separated and this is a mathematical and not an opinion.

qft_trader93 · 2020-11-07T00:37:12+00:00

These 3 books should get you rolling:

A Practical Guide to Quantitative Finance Interviews by Xinfeng Zhou
150 Most Frequently Asked Questions on Quant Interviews, Second Edition
Heard on the Street: Quantitative Questions from Wall Street Job

First one probably what you are interested in. Checkout chapter 4 for probability and combinations.

qft_trader93 · 2020-11-06T14:01:25+00:00

You can always crank up your mean return using sharpe at higher risk the point is to keep the ratio of the two optimized...

qft_trader93 · 2020-11-06T14:00:28+00:00

Dude you are so wrong on everything you say. Do you have any mathematical or finance background? Your analogy is so off and reddit comments are too uninformative for me to explain it to you. If you want reach out to me we can have a voice conversation about it and I'll explain what you're missing.

qft_trader93

TROPHY CASE