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The Quants Run Wall Street Now

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Re: The Quants Run Wall Street Now

#101

Post by nullnilvoid »

zackmorris wrote: post #48

Anyone have hard numbers on if/by how much quants outperform old fashioned techniques like flags and finding stocks that tend to go the opposite direction from the one you're interested in? I don't know the terminology for all this but I know there are limits due to uncertainty so even the best algorithms may not do much better that someone guessing. Do quants do 10% better, 2x better, 10x better? My Dad and I had a…

> I wanted to try day trading myself but they changed the law in 2001 so you had to have $25,000 to trade on margin, so only the wealthy could get twice the gains: https://en.wikipedia.org/wiki/Pattern_day_trader

This is how the rich get richer and the poor get poorer. The rich can trade on margin, pay less tax (capital gain tax is lower than even income tax), and have many more other opportunities. The middle class is shrinking for a reason.

Re: The Quants Run Wall Street Now

#102

Post by crimsonalucard »

fizixer wrote: post #67
meddlepal wrote: post #38

Earlier quoted context omitted.

If you haven not been keeping up, since about sometime in the mid-1980's acquisition of Money became the defining virtue of goodness and success. That's all that matters now.

The problem is that it's more like sports than math/science: a tug-of-war (zero-sum game) instead of win-win. You're pitting your intelligence against the intelligence of other quants (not against the complexity of some natural system or something). You have 3 phds? they bring in 4. You bring in 6? they bring in 10. You bring the processing down to 50ms, they go 45ms; you go 5ms, they go 2ms. The game never ends. It'…

Exactly. It's a total waste of resources. Put these phds on curing cancer instead of playing a gambling game that adds no real GDP to the economy.

Re: The Quants Run Wall Street Now

#103

Post by noobermin »

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…

The likeliness for ending up in a tenure-track research position is much much lower than it is to land a good job working at wall street.

Re: The Quants Run Wall Street Now

#104

Post by SirLJ »

dsacco wrote: post #96
SirLJ wrote: post #87

Earlier quoted context omitted.

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.…

Thanks,but you don't have to prove anything to me... my trading account is my proof that I don't have to compete with the flash boys to make money, so I don't care about tick data...

Re: The Quants Run Wall Street Now

#105

Post by guiambros »

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…

This is excellent, particularly for reading with lynx :)

Re: The Quants Run Wall Street Now

#106

Post by matheweis »

dsacco wrote: post #79
matheweis wrote: post #64

Earlier quoted context omitted.

What about options? So for I haven't been able to find any good source other than CBOE and their resellers, which are all quite expensive.

I trade options using Livevol data. Good historical options data doesn't come cheaper than about $3,000/year (I'm willing and grateful to be proven wrong, but I've looked).

CBOE (the actual exchange) is about $500 per symbol for EOD + greeks for the entire last ~15 years.

Re: The Quants Run Wall Street Now

#107

Post by dsacco »

matheweis wrote: post #106
dsacco wrote: post #79

Earlier quoted context omitted.

I trade options using Livevol data. Good historical options data doesn't come cheaper than about $3,000/year (I'm willing and grateful to be proven wrong, but I've looked).

CBOE (the actual exchange) is about $500 per symbol for EOD + greeks for the entire last ~15 years.

Thanks, but I should have clarified: I meant intraday data like minute quotes or actual trades.

Re: The Quants Run Wall Street Now

#108

Post by zitterbewegung »

duckmuck wrote: post #95
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?

It saves the page after the filtering that is done in the command and you can open the 2.htm to view the page.

Re: The Quants Run Wall Street Now

#109

Post by nl »

duckmuck wrote: post #95
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?

It's two separate lines.

The first line uses curl to download the AMP file to 1.htm

The second line use sed to replace some elements in the HTML and writes it out to 2.htm

Re: The Quants Run Wall Street Now

#110

Post by xapata »

nullnilvoid wrote: post #101
zackmorris wrote: post #48

Anyone have hard numbers on if/by how much quants outperform old fashioned techniques like flags and finding stocks that tend to go the opposite direction from the one you're interested in? I don't know the terminology for all this but I know there are limits due to uncertainty so even the best algorithms may not do much better that someone guessing. Do quants do 10% better, 2x better, 10x better? My Dad and I had a…

> I wanted to try day trading myself but they changed the law in 2001 so you had to have $25,000 to trade on margin, so only the wealthy could get twice the gains: https://en.wikipedia.org/wiki/Pattern_day_trader This is how the rich get richer and the poor get poorer. The rich can trade on margin, pay less tax (capital gain tax is lower than even income tax), and have many more other opportunities. The middle class…

You're speaking of long term capital gains. Day trading results in short term gains which are taxed at regular income rates. Margin accounts are also generally foolish; a way to lose money. They are not usually at favorable rates.
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