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Most important papers for quantitative traders

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Re: Most important papers for quantitative traders

#11

Post by Satam »

mo_42 wrote: post #10
Kranar wrote: post #5

Earlier quoted context omitted.

What you mention is the Nobel Prize in economics, it's the same thing. It wasn't one of the original prizes set out in Nobel's will, but it is awarded by the same institution and follows the same procedure. Only an absolute pedant who is looking to argue trivialities would bicker over the name of "Nobel Prize in Economics" vs. "Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel". [1] https://www.n…

If you would establish a price and someone would pick up your name for another price, would that make you happy? Alfred Nobel did not establish a price in economics. So IMHO this price should not have his name. Sure, the official name is a bit bulky. We can certainly find something more appropriate.

Tesla did not establish electric veichile company and Max Planck did not, in fact, erect a building in my university's square.

Re: Most important papers for quantitative traders

#13

Post by smabie »

satellite2 wrote: post #8

I stopped at the table of content but the bibliography covers what any introductory finance 101 course would cover. I interpreted the title as suggesting there was a bit of novelty in there so it's a bit disappointing. Without the above papers you cannot invest while claiming doing anything else than playing at a casino. But it's clearly not sufficient to design a profitable quantitative strategy in 2023.

Yeah these are classic quant finance papers, but all in all not super helpful for anything except a basic foundation.

Re: Most important papers for quantitative traders

#14

Post by Kranar »

mo_42 wrote: post #10
Kranar wrote: post #5

Earlier quoted context omitted.

What you mention is the Nobel Prize in economics, it's the same thing. It wasn't one of the original prizes set out in Nobel's will, but it is awarded by the same institution and follows the same procedure. Only an absolute pedant who is looking to argue trivialities would bicker over the name of "Nobel Prize in Economics" vs. "Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel". [1] https://www.n…

If you would establish a price and someone would pick up your name for another price, would that make you happy? Alfred Nobel did not establish a price in economics. So IMHO this price should not have his name. Sure, the official name is a bit bulky. We can certainly find something more appropriate.

It's not a random person who picked up the name. Nobel established the various prizes in his will to be administered by certain committees and it is one of those committees that added the prize in economics to be awarded under the same criteria and at the same time as the other prizes.

It is definitely notable that that the prize in economics is not one of the original prizes and I would never argue that it is. But acting like there is no strong relationship between the two that one would claim that a Nobel Prize in economics just doesn't exist is I think misguided. There is such a prize, it is not one of the original prizes and does have a different history, but it is strongly related to the other prizes.

Re: Most important papers for quantitative traders

#15

Post by [deleted] »

satellite2 wrote: post #8

I stopped at the table of content but the bibliography covers what any introductory finance 101 course would cover. I interpreted the title as suggesting there was a bit of novelty in there so it's a bit disappointing. Without the above papers you cannot invest while claiming doing anything else than playing at a casino. But it's clearly not sufficient to design a profitable quantitative strategy in 2023.

[deleted]

Re: Most important papers for quantitative traders

#16

Post by lockdown22 »

Nice article, I'll definitely read some of the outlined books. Thanks for sharing.

My personal experience is that you don't need to fully understand the Black Scholes Pricing model in order to trade profitable options.

As an example consider the public income trades, such as NetZero, Boxcar, M3, Theta Engine. Trading those doesn't require you to understand how Implied Volatility.

One can argue, however, that selling options and hedging them isn't the 'Quant way' of profiting from options.

Re: Most important papers for quantitative traders

#18

Post by mydriasis »

This is what I wanted to do when I was getting my math degree! I wanted to be a quant. Things went a different direction and I'm a programmer now. Is there any hope for me? Think I could still chase it down in my spare time, or is it something I need, say, a master's degree for?
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