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Most important papers for quantitative traders

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Re: Most important papers for quantitative traders

#31

Post by ants_everywhere »

Kranar wrote: post #5
mo_42 wrote: post #4

The author seems to imply that there's a Nobel Prize in economics. There is no such prize. There's only: Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel

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…

> absolute pedant who is looking to argue trivialities would bicker

Well, yes it's a more than a little pedantic, but I think your statement may be too strong.

For example, at least one member of the Nobel family has objected to using their name on the prize:

> Nobel accuses the awarding institution of misusing his family's name, and states that no member of the Nobel family has ever had the intention of establishing a prize in economics. [from Wikipedia]

Also, while it's true that they're administered similarly, it also is true that they are funded from different sources. The Economics prize is funded by the (100% state-owned) central bank of a monarchy. Does that matter? Maybe not, but it's certainly a bit smelly and some of their picks in the past don't seem entirely justifiable solely on academic merit.

Re: Most important papers for quantitative traders

#32

Post by starchild_3001 »

Thanks for sharing! My list of 12 most useful resources for machine learning quants can be found here: http://gokhanmergen.com/quantBibliography.html

This list was compiled in 2009 before I took a full time job in an algorithmic trading company, but it's still relevant :) If anything ML is more relevant than ever in trading, except perhaps Deep Neural Nets, Transformers, Large Language Models etc are the norm today.

Re: Most important papers for quantitative traders

#33

Post by brickteacup »

Kranar wrote: post #5
mo_42 wrote: post #4

The author seems to imply that there's a Nobel Prize in economics. There is no such prize. There's only: Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel

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…

> 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".

well this is HN after all

Re: Most important papers for quantitative traders

#34

Post by cgio »

Kranar wrote: post #5
mo_42 wrote: post #4

The author seems to imply that there's a Nobel Prize in economics. There is no such prize. There's only: Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel

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…

There is some value to being pedantic. I did not know this fact about the economics Nobel and now I do.

Re: Most important papers for quantitative traders

#35

Post by dia80 »

Quant trader here... I'm a big seller of this list. Making money tends to be a relatively empirical endeavor. It's all about having information about the future and using that in judiciously way and less so about any particular theory or model. I see someone else mentioning Grinold and Khan "Active Portfolio Management", I can't recommend it enough, it's basically a how to for making money quantitatively in a principled way, there are lots of "tips and tricks" that go on top of this and it really helps to have some good intuition for the space you are trying to operate in (by that I mean understanding the eigenvalues and eigenvectors of your risk matrix). T-costs are also extremely important and the main "enemy" it's trivial to make money if you don't have to pay to trade.

Steven Boyd at Stanford and his students / colleagues are probably the richest seam of up to date portfolio optimization wisdom. If you are using python you shoult probably be using CVXPY to build your portfolio. He has lots of good papers, e.g. see [2].

Of course you also need an "edge", that information about the future, and that's the jealously guarded part...

[1] https://books.google.co.uk/books/about/Active_Portfolio_Mana...

[2] https://stanford.edu/~boyd/papers/pdf/cvx_portfolio.pdf

Re: Most important papers for quantitative traders

#36

Post by ladberg »

mydriasis wrote: post #23
rgbgraph wrote: post #22

Earlier quoted context omitted.

You will be better off going independent, than trying to break into the industry (unless your PhD was from a top program, and you're on the younger side). In that vein, Ernest P. Chan's books will give you the toolkit to begin, and then you can figure out the rest as-needed. Quantitative Trading (2nd), Chan I believe is the first in the series. Algorithmic Trading I believe is the second. And Machine Trading is the l…

That's awesome, I appreciate it. Do I need a ton of money to start off? Is it better _not_ to have a lot of money to start off to create less trouble for myself?

I'd heavily advise not to do what they're recommending, and try out applying to trading firms if you want to break into the industry.

I work at a trading firm and a decent number of our quants were all just programmers beforehand with no trading experience. Additionally, there's no downside to applying to a bunch of them and seeing if you get an offer, but there's a HUGE downside to gambling your own money in a field you don't understand.

You could also do what I did and apply for a normal programmer role at a trading firm. Then you'll get some exposure to the quant world and if you want, you can try to pivot internally (I haven't done the last part and am not super interested, but plenty of people I know have).

Re: Most important papers for quantitative traders

#37

Post by [deleted] »

ladberg wrote: post #36
mydriasis wrote: post #23

Earlier quoted context omitted.

That's awesome, I appreciate it. Do I need a ton of money to start off? Is it better _not_ to have a lot of money to start off to create less trouble for myself?

I'd heavily advise not to do what they're recommending, and try out applying to trading firms if you want to break into the industry. I work at a trading firm and a decent number of our quants were all just programmers beforehand with no trading experience. Additionally, there's no downside to applying to a bunch of them and seeing if you get an offer, but there's a HUGE downside to gambling your own money in a field…

[deleted]

Re: Most important papers for quantitative traders

#38

Post by boppo1 »

Kinda tangential, but hopefully someone lurking in here will bite:

With the growing popularity of passive strategy among institutional and retail investors, will EMH break down and create opportunities for active strategy again? As I understand it, active strategy is a borderline fools' errand on the timeline of ten or more years. But if everyone just buys the S&P, surely that means fewer eyeballs on price discovery and more pricing inefficiencies, no?

Re: Most important papers for quantitative traders

#40

Post by boppo1 »

dia80 wrote: post #35

Quant trader here... I'm a big seller of this list. Making money tends to be a relatively empirical endeavor. It's all about having information about the future and using that in judiciously way and less so about any particular theory or model. I see someone else mentioning Grinold and Khan "Active Portfolio Management", I can't recommend it enough, it's basically a how to for making money quantitatively in a princip…

> having information about the future

How, uh, do you do this legally?

>If you are using python

And if you're using C++?

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