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FinRL: The first open-source project for financial reinforcement learning

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Re: FinRL: The first open-source project for financial reinforcement learning

#31

Post by harveynick »

artemonster wrote: post #16
Galanwe wrote: post #8

Earlier quoted context omitted.

It means to remove a set of factors from the signal - or the returns of the signal, which would impact its performance or exposure, and are not meant to be captured by the signal. Imagine a "I have no preference" signal which gives a weight of 1/n to each asset of the portfolio - you have 100 stocks in your basket, you give 1% to each. If you would compute its performance, you would see that this portfolio would roug…

Can you recommend books on the topic to learn about this kind of stuff?

https://www.amazon.co.uk/Quantitative-Equity-Portfolio-Manag...

Caveat: it’s not exactly “easy reading”, and you might want to have the “three blue one brown” YouTube channel on standby.

Re: FinRL: The first open-source project for financial reinforcement learning

#32

Post by torbTurret »

Galanwe wrote: post #2

As someone with 10+ years of exp in the industry, I had no clue what this was actually doing after reading the github page. Had to dive through the examples and videos. The alphas showcased seem weak: 1.5 max gross SR in sample, unresidualized, unconstrained and standalone. That would need to be blended with a hundred un correlated others to have a decent portfolio.

Quants: So much fancy vocabulary just to consistently underperform your favorite mutual index fund :)

Re: FinRL: The first open-source project for financial reinforcement learning

#33

Post by charcircuit »

nightski wrote: post #18
mumblemumble wrote: post #11

Quick hot take: when the project has a Venmo QR code for soliciting donations, you can safely assume they have not actually figured out how to make lots of money on the securities markets. Which is not me looking to trash it. I'd just encourage people to be aware of the context. This is an academic project which has apparently only been tested on hindcast data. Real life trading may present challenges that were well…

I'd agree with the skepticism. That said, it takes a minimum of 25k to get started using something like this in the real world due to the PDT rule (honestly more than that so you don't dip below 25k). It's possible they just aren't ready to throw that kind of capital at it yet. Also even if they aren't using real money that does not mean they are limited to historical data. You can run algos on live data even without…

Investopedia says that it only required when day trading on margin.

https://www.investopedia.com/terms/p/patterndaytrader.asp

Re: FinRL: The first open-source project for financial reinforcement learning

#34

Post by nightski »

charcircuit wrote: post #33
nightski wrote: post #18

Earlier quoted context omitted.

I'd agree with the skepticism. That said, it takes a minimum of 25k to get started using something like this in the real world due to the PDT rule (honestly more than that so you don't dip below 25k). It's possible they just aren't ready to throw that kind of capital at it yet. Also even if they aren't using real money that does not mean they are limited to historical data. You can run algos on live data even without…

Investopedia says that it only required when day trading on margin. https://www.investopedia.com/terms/p/patterndaytrader.asp

Cash settlements take several days. So while that is correct, a margin account let's you use funds from the sale of a stock immediately instead of waiting for the settlement to occur. You aren't taking out any margin (with interest) in this case, just using the funds you already have (but haven't settled). Otherwise a cash account limits how much you can trade very quickly since you are waiting on trades to settle.

Re: FinRL: The first open-source project for financial reinforcement learning

#35

Post by nickles »

charcircuit wrote: post #33
nightski wrote: post #18

Earlier quoted context omitted.

I'd agree with the skepticism. That said, it takes a minimum of 25k to get started using something like this in the real world due to the PDT rule (honestly more than that so you don't dip below 25k). It's possible they just aren't ready to throw that kind of capital at it yet. Also even if they aren't using real money that does not mean they are limited to historical data. You can run algos on live data even without…

Investopedia says that it only required when day trading on margin. https://www.investopedia.com/terms/p/patterndaytrader.asp

Equities settle T+2. Without a margin account, Reg T requires that cash be tied up until a trade is settled. It’s not viable to day trade like that.

Re: FinRL: The first open-source project for financial reinforcement learning

#36

Post by [deleted] »

nickles wrote: post #35
charcircuit wrote: post #33

Earlier quoted context omitted.

Investopedia says that it only required when day trading on margin. https://www.investopedia.com/terms/p/patterndaytrader.asp

Equities settle T+2. Without a margin account, Reg T requires that cash be tied up until a trade is settled. It’s not viable to day trade like that.

[deleted]

Re: FinRL: The first open-source project for financial reinforcement learning

#37

Post by charcircuit »

nickles wrote: post #35
charcircuit wrote: post #33

Earlier quoted context omitted.

Investopedia says that it only required when day trading on margin. https://www.investopedia.com/terms/p/patterndaytrader.asp

Equities settle T+2. Without a margin account, Reg T requires that cash be tied up until a trade is settled. It’s not viable to day trade like that.

Doesn't the exchange match people with another person who is buying / selling it? Every single cryptocurrency or video game exchange I have used has settled pretty much instantly.

How hard is decrementing the shares of one user and incrementing the shares of another.

Re: FinRL: The first open-source project for financial reinforcement learning

#38

Post by auntienomen »

bravura wrote: post #30
melony wrote: post #28

Earlier quoted context omitted.

Get an internship at a reputable prop shop or hedge fund (that specialize in quant finance). There are plenty in Switzerland.

Aren't they going to impose a strong non-compete agreement on you, so that once you've actually learned something you are handcuffed to them?

You can't really impose strong non competes on interns. You don't show them the good stuff either. Just enough to get/give an impression for later recruiting.

Re: FinRL: The first open-source project for financial reinforcement learning

#39

Post by artemonster »

harveynick wrote: post #31
artemonster wrote: post #16

Earlier quoted context omitted.

Can you recommend books on the topic to learn about this kind of stuff?

https://www.amazon.co.uk/Quantitative-Equity-Portfolio-Manag... Caveat: it’s not exactly “easy reading”, and you might want to have the “three blue one brown” YouTube channel on standby.

Watched every video of them, I am okay with math. Thank you very much! Btw, since quant industry is full of secrets - is there any source on some actual money figures - how much firms make, what are the sums that are required to be shuffled, what are the frequencies of trades, profitability figures? Anything to get a slight glimpse into inner workings of this. Unfortunately googling turns out nothing or scams

Re: FinRL: The first open-source project for financial reinforcement learning

#40

Post by v0idzer0 »

charcircuit wrote: post #37
nickles wrote: post #35

Earlier quoted context omitted.

Equities settle T+2. Without a margin account, Reg T requires that cash be tied up until a trade is settled. It’s not viable to day trade like that.

Doesn't the exchange match people with another person who is buying / selling it? Every single cryptocurrency or video game exchange I have used has settled pretty much instantly. How hard is decrementing the shares of one user and incrementing the shares of another.

> How hard is decrementing the shares of one user and incrementing the shares of another.

whose database are you incrementing/decrementing in? Real life stock trades happen across multiple exchanges with multiple intermediaries (brokers, market makers, end users). Without a blockchain, this is not trivial to coordinate safely

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