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The Quants Run Wall Street Now

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Re: The Quants Run Wall Street Now

#111

Post by xapata »

T-A wrote: post #77
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…

> Anyone have hard numbers on if/by how much quants outperform old fashioned techniques From the article, "In the past five years, quant-focused hedge funds gained about 5.1% a year on average. The average hedge fund rose 4.3% a year in the same period."

Averages are nearly meaningless without standard deviation or at least a histogram.

Re: The Quants Run Wall Street Now

#112

Post by mrkgnao »

tzs wrote: post #62
SirLJ wrote: post #49

Everyone can try to do it, but you need to spend the time and educate yourself like in any other profession or hobby and the first step is to go to eBay and search for historical stock market data, you can buy 20 years of data for less than $100 and you can test all trading ideas for free and without losing a single penny...the barrier for entry is very low, some Python knowledge + Linux machine and the data and off…

If you are going to use machine learning on the data, though, make sure you know what you are doing unless you are just using someone else's complete package. It's really easy to screw up machine learning. I recall an example given in a class I took. (I may be misremembering the details, though). Some people were trying to apply machine learning to currency trading. They had a bunch of data. They normalized the data…

Without a minute understanding of what's involved, I'd guess that normalizing is a non-local operation, in the sense that the effect of normalizing some x depends on the other elements of your dataset, so that normalization includes the "information" of the rest of the data implicitly.

In real life, that's sort of like having access to the answers when you're given the questions. Being trained in that environment won't do much good.

Re: The Quants Run Wall Street Now

#113

Post by xapata »

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…

Unfortunately, there is such a thing as too much liquidity as it can cause turbulence. Extending the metaphor, a viscous fluid might be more stable.

Re: The Quants Run Wall Street Now

#114

Post by nradov »

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…

This is ridiculous. Poor people aren't going to get rich by day trading on 2x margin. And if someone in the US seriously wants to get into margin trading it's not that tough to scrape together $25k by getting a second job and living frugally for a couple years.

Also if you have decent credit you can simply take out an unsecured personal loan for $25k and deposit that in your trading account. This is effectively the same thing as trading on margin.

Re: The Quants Run Wall Street Now

#115

Post by exogeny »

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…

I know more than a few dudes who work on Wall Street, most of whom graduated EE or CS from Carnegie Mellon/MIT/Harvard.

Most of them view it as a mercenary job, nothing more. They don't give a shit about finance itself, but they enjoy the money, they enjoy solving problems - especially ones that are seen as impossible - and obviously they also enjoy the deep technical aspects of the job as well. It scratches a lot of different itches and it's a very high prestige gig ("Wall Street", "Wolf of Wall Street", etc.) to boot.

Look at it another way: if they're out in the Valley, they're one of thousands of talented engineers, competing against gender disparity in a very competitive social arena. In NYC, they're young, brash hotshots working less hours for more money with all of the ego, bonuses, and cocaine that goes with it, in an infinitely more exciting city. Tell me which setup you'd rather have.

Re: The Quants Run Wall Street Now

#116

Post by nullnilvoid »

xapata wrote: post #110
nullnilvoid wrote: post #101

Earlier quoted context omitted.

> 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.

The rate for margin is yearly 8% for my brokerage account. The NASDAQ has gone up 15% since Trump got elected. If you use it wisely, it is great leverage. The poor don't even get to use it. They are completely shut out of the opportunity.

Re: The Quants Run Wall Street Now

#117

Post by nradov »

seibelj wrote: post #63
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 don't do this, but there is a place without any rules, 24/7 trading, wild volatility, and tons of dumb money. This place is cryptocurrencies. Supposedly it's a lot easier to trade in these markets, less competition, less money needed. I used to laugh at my brother, but he turned $20k into $300k, so it is possible.

Some people also turn $20k into $300k by playing the lottery.

Re: The Quants Run Wall Street Now

#118

Post by nullnilvoid »

nradov wrote: post #114
nullnilvoid wrote: post #101

Earlier quoted context omitted.

> 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…

This is ridiculous. Poor people aren't going to get rich by day trading on 2x margin. And if someone in the US seriously wants to get into margin trading it's not that tough to scrape together $25k by getting a second job and living frugally for a couple years. Also if you have decent credit you can simply take out an unsecured personal loan for $25k and deposit that in your trading account. This is effectively the s…

Why do the poor have to get a second job in order to get 2x margin? Why do they have to jump through the hoop when the rich don't have to? If the poor have $2,000, why cannot they use margin as leverage? The opportunities are not equal there.

Re: The Quants Run Wall Street Now

#119

Post by MR4D »

tzs wrote: post #66
yourapostasy wrote: post #54

Earlier quoted context omitted.

Why isn't this data out on torrents? Is it somehow copyrighted?

I have a hard time seeing how it could be copyrighted, at least if we are talking about comprehensive stock listings organized in the obvious way (e.g., a table of prices organized by date, where the stocks included are chosen by some straightforward criteria). In the United States I'd expect this to be covered by Feist Publications, Inc., v. Rural Telephone Service Co., 499 U.S. 340 (1991). [1] https://en.wikipedia.…

It's considered a "compilation". Feist addresses this in the links you supplied. However, if you're not used to reading law, this might help explain it in normal English. (Court documents are most definitely not normal English!)

https://www.unc.edu/courses/2006spring/law/357c/001/projects...

Re: The Quants Run Wall Street Now

#120

Post by nathan_f77 »

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…

Thanks very much for this script, it was really refreshing to read such a minimal webpage.

I added some bare-minimum CSS to make it a little nicer to read. Full command (with in-place sed):

    curl -o article.htm https://www.wsj.com/amp/articles/the-quants-run-wall-street-now-1495389108
    sed -n '/./{//,//p;}' -i article.htm
    echo "html { text-align: center; padding: 36px; } body { max-width: 600px; text-align: left; margin: auto; }" >> article.htm
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