Viewing profile — traK6Dcm

HFT may not, but trading itself definitely provides positive value. People's utility function is not purely monetary over an infinite time horizon. Trading allows you to trade off …

Yeah, fair enough. The truth is that I'm just a little frustrated by people touting the horn of "making the world a better place" when in reality most end up doing nothing of the s…

Some people argue that HFT provides liquidity for retail investors, but it's debatable whether that liquidity is real or not since it'll be gone during black swan events. At the sa…

I think he means smart as in "how long your model prediction takes". If your neural net (haven't actually met anyone who uses these in trading) takes 5ms to make a prediction that'…

> I understand they are not making the world a better place, but are they making it worse? Most people would argue that they are not directly making the world a worse place, but ra…

Even if that was true (it's difficult to prove either way since there is little data on black swan events), the fact that they provide liquidity during stable times can make up for…

It hasn't really, at least not in production. Academics are now publishing a lot of papers using Deep Learning or RL, but you won't usually see those in live systems. In live syste…

I can recommend this [0] book. It's focused on financial time series and trading, but the techniques covered in the book are generic enough to apply to all kinds of time series, yo…

What people are complaining about is not the overfitting, but the unrealistic assumptions in the backtest. In the real world there is slippage, latencies/jitter, special market ope…

Data distribution shift. The market changes over time and your current data does not come from the same distribution as old data. That limits the amount of data you can use for tra…

I don't think daily OHLCV data is a good data source. First of all, it's too little because of the data distribution shift over time. It's also driven significantly by outliers and…

Is 200-500k still true? It used to be, but I think it has decreased significantly over the last decade. I'd say most junior people in this field are making about the same or less t…

In this simple example, yes, but you are assuming that monetary value = utility. That's not always the case. People have all kinds of different incentives for participating in the …

You make a good point. I've also gotten into trading because I enjoy the algorithmic and mathematical aspects, and I would love to share more of what has been working for me and wr…

Yup, it's probably just the output of an optimizer and then tested on held-out future data. Not overfitting is the key here and what's really hard. You need to be careful about the…

Why do you think it's a weird subject of study, but games like Chess, Go, and Starcraft are not considered weird? Aren't both studied for purely their benchmark potential as oppose…

That's overly simplistic. While the overall system may be zero-system over an infinitely long time horizon, this doesn't typically matter in practice. It can be positive sum for pa…

I don't claim that all the science that isn't actively being applied yet is BS, but this kind of science typically happens within trading firms, tested on real-world data, and is n…

I actually believe that trading is an interesting problem that should be studied more in Academia and Machine Learning. It has many aspects (sparse rewards, long-time horizons, sim…

In general, books are a much better source of information than papers or blog posts when it comes to trading. I haven't read the one you posted, but a few I can recommend: [0] is o…

I don't think it necessarily has to be true. I also built a profitable system and wrote about it, but I didn't share all the details. Not even close. There are just too many small …

As someone who has written about this previously [0], worked briefly in HFT before, and read dozens of papers on the subject, I can say with very high confidence that the results a…

If someone wants to buy at $100 and someone else wants to sell at $90 it depends on who came first. To really answer this question, you need to understand the difference between ma…

The short answer: What exactly the "price" shown on the exchange website is depends on the exchange. Typically it's the last trade price or the mid price (average of best bid and o…