31–40 of 62 posts
A big part of algorithmic trading and stat arb is portfolio management, including deriving alpha, building risk models, etc.
The bible is: http://www.amazon.com/Active-Portfolio-Management-Quantitati...
Earlier quoted context omitted.
Disclaimer: I'm not a quant and don't know where to source data on this topic. But from what I'e read, the size of the derivatives market was approximately 5-6X global GDP in the mid 00's. Now, it's over 20X global GDP. If that market ever crashed, we'd be looking back at the crash of '08 as 'good times'.
Thats kind of misleading. First those figures are probably notional underlying, which doesnt mean much. Second contracts have a buyer and a seller, so net value is zero. So it does not work like a stock market crash destroying (presumed) wealth. They should be teaching kids the basics of this stuff in schools...
This is what happened with AIG, where people thought they were adequately hedged on their position because they bought a CDS with AIG, and then it turned out that AIG itself had written so many CDSs that it couldn't pay back its obligations, which exacerbated the entire financial crisis.
Check out the quant.stackexchange.com site. There's a bunch of similar questions there with good answers: http://quant.stackexchange.com/search?q=books Also, http://quant.ly/ is essentially Hacker News for quants and often has interesting articles.
Check out the quant.stackexchange.com site. There's a bunch of similar questions there with good answers: http://quant.stackexchange.com/search?q=books Also, http://quant.ly/ is essentially Hacker News for quants and often has interesting articles.
So is HN forum software? or did they just make a lookalike?
- 'The Concepts and Practice of Mathematical Finance' - 'C++ Design Patterns and Derivatives Pricing'
Also of note is Baxter & Rennie:
- 'Financial Calculus: An Introduction to Derivative Pricing'
Once you've studied those and have a good grasp of Measure Theory, you'll want to tackle Shreve, Vol II.
And a brief plug of my (slightly out of date!) quant finance website, Quantstart.com.
There is a great list here: http://blog.hiremebecauseimsmart.com/post/2860511335/design-... Note, scroll way down to see the content, the formatting is screwy. Note 2, I'm not a quant but the math I do overlaps tremendously. edit: previous HN discussion: http://news.ycombinator.com/item?id=2130508
Mark Joshi's (markjoshi.com) site has a pretty good set of information for aspiring quants (in particular, see the "advice for aspiring quants" bit). The "careers" forum on nuclearphynance.com is also pretty good, and might also shatter some preconceptions about how easy it is to waltz into the industry. (note: nuclearphynance seems to be down at the time of writing)
http://www.reddit.com/r/quantfinance/comments/jl5ea/there_ar...
If there's a SE, discussions on HN, thousands of MFE's being minted, and so many books on quant finance topics, you really have to wonder if the quant labour market isn't saturated.
You need to be a little more specific regarding your interests and background. If you are interested in theory, there are plenty of books discussing specific models. However, most practical or buzzword (e.g. HFT) books are rubbish (think about it: if you have a profitable operation, why would you write a book? Unless, like me, you have a screw loose :P ) If you want some practical discussions, "Trading and Exchanges"…
also this one: http://news.ycombinator.com/item?id=1238906 with a comment by pg there
I thought the last crash basically trashed Quants and the idea you can model financial system :) If you are looking into getting into high frequency trading take note that the world's exchanges are changing to crack down on some of the practices.