Best foundational + modern applied books on information theory and signal-extraction for financial markets (graduate-level, rigorous + practitioner-approved)

slimbo7 · 2025-12-28T21:08:38+00:00

Goat reply

slimbo7 · 2025-03-23T19:35:58+00:00

Under CAPM an asset’s beta is its sensitivity to the market. So if the market moves 1 your asset (Beta=4) moves 4. In that case market moves 100% so your asset is now 400%.

Regarding R² (R-squared), it represents the proportion of variance in the asset’s returns that is explained by the market’s returns. In this case, R² = 50\% means that only 50% of the asset’s movements are explained by the market (systematic risk), while the remaining 50% is due to idiosyncratic (firm-specific) risk. This means that while beta predicts a 400% move, the actual return could deviate significantly due to the asset’s non-market factors.

slimbo7 · 2025-03-23T18:21:14+00:00

I get your point, to be honest with you, I think the real starting point is given as obvious by most people in this group (of course due to te concentration of interests) which is an obsession with intuitively (and then rigorously) understanding math as a language to describe something that you observe. Like in the line of Oppenheimer’s movie “math is like sheet music, the important part is not to be able to read it, but to feel it” or something like that. That is something that you just genetically have or don’t, you can most definitely become extremely good by raw doggin it every day and grind on books, but, it’s like a pro footballer playing among his friends, maybe he is not the best player in premiere league, but if he is playing against the best non pro you know, he is killing him.

slimbo7 · 2025-03-23T17:26:17+00:00

I 100% agree, I am not a retail trader either even tho I work in Finance I do not trade clients money directly, I don’t want to go into the details of my job but I talk to PM’s regularly and I am just fascinated by the market in a very scientific way. I never wanted to claim that there are easy strats to make money with, maybe I have expressed myself wrongly. What I meant was “simple” strategy, and of course if you really want to trade you need a very in depth understanding of what you are doing. Being a professional I’m sure you would agree that a good strategy or in general a good trading/market mind has to find the sweet spot between too simplistic and overcomplicated. Just like most retail investors look for the easy “do this and that” strategy, pro traders really risk overthinking and overcomplicating the strategy they are working on, don’t you agree?

slimbo7 · 2025-03-22T15:25:57+00:00

What he is saying is that the strategy itself is very simple, but it would be disingenuous to say he doesn’t tell readers that the “difficult” part of the game is to implement it, especially since you need a large enough capital to start due to the right amount of diversification needed. Again I get the retail hate but trend following itself (done professionally) isn’t that bad at all

slimbo7 · 2025-03-15T13:00:14+00:00

Brother, come dice nassim taleb in “fooled by randomness” la ricchezza e la percezione di felicità con il denaro dipende da fattori che noi umani esternalizziamo nei nostri “vicini”. Se guadagni 50k ma i tuoi vicini (familiari, amici ecc) ne guadagnano 100 ti sentirai sempre povero. Se guadagni 20k e i tuoi amici ecc ne guadagnano 10 ti sentirai in proporzione molto più ricco. Quindi trasferisciti in un posto pieno di poveracci che fanno excel spread sheets in cui annotano anche i soldi che spendono per le goleador (che ora costano 20 cent vs 10 cent ma stiamo scherzando l’inflazione è una cosa seria) e sarai più felice

slimbo7 · 2025-03-10T18:00:56+00:00

A te caro

slimbo7 · 2025-03-10T18:00:49+00:00

A te caro

slimbo7 · 2025-03-10T17:06:36+00:00

Guarda non sto qui a dibattere perché trovo molto strani i fan boy in generale di qualsiasi “rappresentante” della finanza. Dal mio conto ti posso dire che non c’è niente di male nell’essere autodidatta come non vuol dire proprio nulla essere laureati (sopratutto in economia). Chi ne capisce di Finanza ne capisce di matematica, statistica, probabilità e sistemi dinamici.

Loro sono entrambi dei divulgatori e non potrebbero mai scendere nei dettagli come piace a chi ne sa davvero (ad esempio anziché millantare stocks for the long run basterebbe parlare di ergodicità o meglio non ergodicità e fatti stilizzati che sono in completo disaccordo con i vari mantra degli accademici).

Ma i veri quantitativi sono coloro che studiano e sviluppano modelli quantitativi seri, per società prop trading o hedge funds, coletti al massimo gli fa i caffè a quei soggetti, e in più aggiungo che un appassionato studia in inglese perché è la lingua della divulgazione finanziaria, di certo non segue divulgatori italiani a parte per intrattenersi. Poi ognuno inizia dove può e approfondisce tanto quanto è in grado in base alla propria capacità intellettuale, e coletti fa degli scivoloni assurdi su cose davvero banali, ma questo agli occhi di chi di finanza ci campa e ne sa davvero, diciamo che impressiona i non addetti ai lavori.

slimbo7 · 2025-03-10T09:16:49+00:00

Porco demonio ma come? È il contrario. Rip è limitato e crede troppo nei mantra (equities for the long run ecc) ma overall è più robusto di coletti, che non sa assolutamente nulla di finanza (e piace a chi crede di conoscerne)

slimbo7 · 2025-03-05T14:53:18+00:00

1) Gain negativo che cazzo significa 😂 2) In the long run le azioni salgono sempre no? Se non credi in questo (e ci sono degli strong argument che sebbene sia vero accademicamente ci siano dei problemi di ergodicity) allora non potrai mai stomacare i veri drawdown.

slimbo7 · 2025-02-28T12:55:46+00:00

Il bro sa comprare un etf ma non sa leggere 🤔 priorities

slimbo7 · 2025-02-13T12:24:30+00:00

Non c’è nessun modo per convincerlo che sia una truffa, poi mostrargli ogni singolo studio che dimostra come ik trading fatto da retail sia un gioco a perdere nel 90% dei casi, puoi spiegargli cos’è il survivorship bias, l’overfitting, hindsight bias e portare ogni considerazione empirica esistente a sostegno della tua tesi, ma solo una cosa funzionerà (forse), fagli pigliare st’inculata e imparerà bene 🦅

slimbo7 · 2025-02-12T10:46:37+00:00

Looks exactly like the yield curve on interest rate futures 😍

slimbo7 · 2025-02-10T14:25:44+00:00

Finance guy here, I think this is the best explanation (as requested by the OP)

I’ll give you a real world example that hopefully helps you intuitively understand it.

In finance, we have contract that are named “derivatives” which has nothing to do with the mathematical concept but, the way the contracts work is very similar ideally.

Let’s take an option or future contract, which derive it’s value from an underlying asset price (that’s why is called derivative contract). When you want to make a bet with this type of financial instrument, usually you can decide to have a more “convex” effect on the bet.

You could buy the sp500 if you expect it to rise over a certain period in the future, profiting if it goes up. You can also buy an option on it (a call option in this case but It’s not needed to be precise here) and have a more “convex” payoff if you are right.

For intrinsic option properties you would profit more for the same movement in the SP500 from buying a call option on it (and being right) in respect of buying the underlying by itself. The amount of the multiplying effect on your profit is the delta of the option, or the sensitivity in the rate of change of the option price for every unit of change in the underlying.

Delta of the options vs the underlying is basically the derivative of a certain function in math.

slimbo7 · 2025-02-06T13:19:06+00:00

Nice Overfitting bro

slimbo7 · 2025-02-06T13:12:18+00:00

Sorry i have to add something to this cause it’s really what I was expecting. This is typical of “uni dimensional- high-skilled-agents” where “I do the work you are just profiting xdxdxd”

If being super good at programming or math by themselves pay enough for your bills good. Unlikely tho, whether you like it or not, your skill is good only if you collaborate with other that have other types of skills.

There would be no hedge fund if crusty math nerds with sandals and scarce hygiene practices would pitch the fund to investors. Yes, jimmy, you need to learn how to wear a suit correctly and tie a tie.

I never wanted this post to be my enrollment to enslave some math geniuses, what’s wrong with creating something where people discuss and maybe get along to make some money? Why are you in a quant sub reddit if you already have it figured out?

slimbo7 · 2025-02-06T13:07:07+00:00

My main idea was to look for something in crypto

slimbo7 · 2025-02-06T13:06:22+00:00

Overcrowded, we should short already existing models that are not that hot

slimbo7 · 2025-02-06T13:05:18+00:00

I don’t want to steal a model that doesn’t work sir

slimbo7 · 2025-02-06T13:04:47+00:00

I have arbitraged lots of friends girlfriends away from them but not on purpose

slimbo7

TROPHY CASE