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The Quants Run Wall Street Now

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Re: The Quants Run Wall Street Now

#91

Post by charsifood »

dluan wrote: post #65

My question for these new would-be quants is, how do you see your work? I know there are certain types of smart whizzes who see working for Google/Facebook/Amazon as some sort of intellectual step down, or where in finance the value to society is some handwavy "market-making" argument (depending on how philosophical you get), but presumably these types going into this are also tenure-track, research producing scienti…

You speak as though there's an enormous gulf in producing social value between working at Facebook and working at Renaissance.

Speaking as a physicist who left the field, the vast majority of research physicists are not going to make a significant impact on advancing human knowledge. They're all too busy teaching bored undergrads, competing for underfunded grants, and politicking to get their name onto more papers.

I'd rather do math and make lots of money. Wouldn't you?

Re: The Quants Run Wall Street Now

#92

Post by dsacco »

jessriedel wrote: post #27

There's a plot where they differentiate "quant hedge funds" from "other hedge funds". How are they defining this? (To what extent is this just a matter of quant being sexy and more firms describing themselves as quant?)

The other commenters are correct-ish about "quant" meaning something like, "computers and technology." But for the most part it's now a marketing term. Discretionary/fundamental hedge funds also use data pretty extensively, and they also use trading algorithms. It's largely about technology culture, not simply the way in which trades are chosen (or not, as it were).

Re: The Quants Run Wall Street Now

#93

Post by [deleted] »

dsacco wrote: post #89
whoisninja9 wrote: post #88

Earlier quoted context omitted.

i agree with you and i think it is a good point but just one doubt i have that liquidity argument is correct assuming that this doesn't effect the fundamental pricing and cause bubbles (for ex.[oversimplified one] if lot of people followed trend following - it keeps driving bubbles in the long run - although i know counter argument is markets actually become efficient with more trading, but it is hard for me to buy i…

I'm not going to comment on the liquidity argument (it's a dead horse in my opinion), but another commenter and I mentioned a few examples of open source contributed by "quant" funds.

[deleted]

Re: The Quants Run Wall Street Now

#94

Post by hek3 »

tptacek wrote: post #72
dluan wrote: post #65

My question for these new would-be quants is, how do you see your work? I know there are certain types of smart whizzes who see working for Google/Facebook/Amazon as some sort of intellectual step down, or where in finance the value to society is some handwavy "market-making" argument (depending on how philosophical you get), but presumably these types going into this are also tenure-track, research producing scienti…

There's nothing handwavy about the liquidity argument. Improving liquidity reduces the cost of trading for almost everyone in the market and thus makes almost everyone just a little wealthier. That means ordinary people, like schoolteachers and custodians, retire with a bit more money, and are a bit more comfortable; it means lots of people can donate just a bit more money to charitable causes without crossing whatev…

Ordinary people eh? Extraordinary are you?

All I see Wall St and Silicon Valley doing is using new found speed and scale for their own benefit while concocting self deluding narratives about how this benefits everyone. Nothing extraordinary about that.

Re: The Quants Run Wall Street Now

#95

Post by duckmuck »

10165 wrote: post #32

I know there was just a discussion yesterday on how amp is awful but it still is useful, e.g., to read WSJ articles. curl -o 1.htm https://www.wsj.com/amp/articles/the-quants-run-wall-street-now-1495389108 sed -n '/./{/ /,/ /p;}' 1.htm > 2.htm FWIW, 2.htm has no amp elements, no Javascript, no images, no ads, no externally sourced resources and therefore no tracking. Add links to non-essential images (cf. auto-loaded…

Can you explain to me what I am looking at here? (curl -o 1.htm... >2.htm)? And how I can use it to view an AMP page?

Re: The Quants Run Wall Street Now

#96

Post by dsacco »

SirLJ wrote: post #87
dsacco wrote: post #84

Earlier quoted context omitted.

My point is that data is not competitive. If you give me an example of a strategy you use with that data, I'll illustrate the issues with using data at the resolution ebay sells (to say nothing of things like survivorship bias...). If you insist on data at this price point, why not just scrape Yahoo Finance? There are literally GitHub projects that obviate this for you.

Please, if you'd like to help the community, just share a good data source... I would never share my winning strategy with some "know it all" on a public forum :-)

It doesn't need to be your actual strategy, whatever. I have no desire to "steal" whatever your system is.

What I am trying to demonstrate here is that your strategy can perform significantly differently if it is using data on different time resolutions. If you find an inefficiency that can be traded by analyzing snapshot data at 1 minute bars, that might turn out to be nothing at all when you look at the tick data. If your strategy is profitable but you don't have real insight into the trades versus just the quotes, you might have unrealistic expectations for fills, or hold times, etc...and if your strategy is profitable, your data is the first way in which you can try to prove it's not correlated with the broader market's regime.

Re: The Quants Run Wall Street Now

#97

Post by whoisninja9 »

dsacco wrote: post #90
whoisninja9 wrote: post #74

Earlier quoted context omitted.

none, their goal is to optimize profits. They haven't gotten to a point where investing in cutting edge tech only research is seen by them as a value add. Also for such projects they stay away from open source collaboration with outside world - so that would be really slow to develop something useful. Hope that will change in future.(very few exceptions - as someone commented pandas - pandas creator at two sigma actu…

To be honest with you, I consider most examples of companies releasing open source software to be commoditizing their complements and streamlining recruiting, not altruism. The result can be altruistic, I guess, but my point is that judging intentions with regards to open source on the part of large companies is a fool's errand in my opinion.

good point, what do you think about tensorflow, openai gym, python, apache foundation, linux foundation? you gotta have some love for open source if you're a developer. i might not be as well read as you but i would like to be corrected if my thoughts are incoherent. also i don't think it is about altruism so i agree with you, there's mutual incentive to open source things like tensorflow i.e. to speed up development.

Re: The Quants Run Wall Street Now

#98

Post by dsacco »

hek3 wrote: post #94
tptacek wrote: post #72

Earlier quoted context omitted.

There's nothing handwavy about the liquidity argument. Improving liquidity reduces the cost of trading for almost everyone in the market and thus makes almost everyone just a little wealthier. That means ordinary people, like schoolteachers and custodians, retire with a bit more money, and are a bit more comfortable; it means lots of people can donate just a bit more money to charitable causes without crossing whatev…

Ordinary people eh? Extraordinary are you? All I see Wall St and Silicon Valley doing is using new found speed and scale for their own benefit while concocting self deluding narratives about how this benefits everyone. Nothing extraordinary about that.

Thomas isn't being condescending (at least not intentionally) when he uses the term, "ordinary." He would also fall into "ordinary" under his own definition, as he's not in that industry.

His point is that, contrary to the narrative of the "little guy" getting screwed by Wall St, they are actually helped by the liquidity HFT market makers contribute.

Everyone is unsophisticated at something. It's not an insult.

Re: The Quants Run Wall Street Now

#99

Post by dsacco »

whoisninja9 wrote: post #97
dsacco wrote: post #90

Earlier quoted context omitted.

To be honest with you, I consider most examples of companies releasing open source software to be commoditizing their complements and streamlining recruiting, not altruism. The result can be altruistic, I guess, but my point is that judging intentions with regards to open source on the part of large companies is a fool's errand in my opinion.

good point, what do you think about tensorflow, openai gym, python, apache foundation, linux foundation? you gotta have some love for open source if you're a developer. i might not be as well read as you but i would like to be corrected if my thoughts are incoherent. also i don't think it is about altruism so i agree with you, there's mutual incentive to open source things like tensorflow i.e. to speed up development…

I use Tensorflow, but it's a fantastic example of my point. Google open sourced Tensorflow because the real strategic advantage in machine learning is data and talent. By commoditizing the software used for machine learning, they broaden the market for their expensive, high margin data, and lower the barrier for talent to enter the industry which they can hire.

Re: The Quants Run Wall Street Now

#100

Post by [deleted] »

dsacco wrote: post #99
whoisninja9 wrote: post #97

Earlier quoted context omitted.

good point, what do you think about tensorflow, openai gym, python, apache foundation, linux foundation? you gotta have some love for open source if you're a developer. i might not be as well read as you but i would like to be corrected if my thoughts are incoherent. also i don't think it is about altruism so i agree with you, there's mutual incentive to open source things like tensorflow i.e. to speed up development…

I use Tensorflow, but it's a fantastic example of my point. Google open sourced Tensorflow because the real strategic advantage in machine learning is data and talent. By commoditizing the software used for machine learning, they broaden the market for their expensive, high margin data, and lower the barrier for talent to enter the industry which they can hire.

[deleted]
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