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Ask HN: How to get into quantitative trading?

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Re: Ask HN: How to get into quantitative trading?

#71

Post by tim333 »

markus_zhang wrote: post #33

Just curious, is there still non-quantitative professional (not-retail) trading in the forex or future or fixed income market?

Glancing at linkedin it still seems to going strong https://www.linkedin.com/jobs/foreign-exchange-trader-jobs-l...

I had a friend who was a forex trader at large banks and a lot of it is reading the psychology of the other people in the market. I think humans probably still have an edge there. He made a lot of money then did a lot of drugs then went a bit mad. One of the drawbacks of humans there.

Re: Ask HN: How to get into quantitative trading?

#72

Post by bmitc »

bluepizza wrote: post #60
bmitc wrote: post #55

Earlier quoted context omitted.

> had gains of 98% in 2008, in the middle of an economic meltdown Medallion does not act on its own or any human sentiment. It is a black box trading strategy that looks for signals. It's not aurprise that during downturns, the overall market is incredibly inefficient. Medallion makes money off of the market's inefficiencies. I don't know what that has to donwith internal vs external investors though. > How come they…

Nothing can help understand Medallion, because there is no actual information about it. Everything you just said is conjecture.

I suggest the book The Man Who Beat the Market and watching or listening to interviews by those who worked there. There's enough information that gives a sense of what Medallion does and how it works.

Re: Ask HN: How to get into quantitative trading?

#73

Post by SturgeonsLaw »

affyboi wrote: post #63
jairuhme wrote: post #45

Earlier quoted context omitted.

Citadel isn't making the bulk of their alpha from simply finding an edge, its making trades in dark pools based on trade information they receive for executing trades. The individual trader won't be able to make trades at the speed required when finding small price discrepancies, nor would they have the capital to really earn anything.

Citadel securities is the market maker, Citadel is the hedge fund and doesn’t have access to data from the other side

Did they pinky promise not to access the data or are there some actual barriers in place?

Re: Ask HN: How to get into quantitative trading?

#74

Post by bluepizza »

bmitc wrote: post #72
bluepizza wrote: post #60

Earlier quoted context omitted.

Nothing can help understand Medallion, because there is no actual information about it. Everything you just said is conjecture.

I suggest the book The Man Who Beat the Market and watching or listening to interviews by those who worked there. There's enough information that gives a sense of what Medallion does and how it works.

I have read the book. It is unconfirmed hearsay at best.

Re: Ask HN: How to get into quantitative trading?

#75

Post by phibz »

chronic62625 wrote: post #25
phibz wrote: post #11

The SEC rules if you're in the US are quite strict. You likely wouldn't be able to do quantitative trading own your own while working at a quant. Though, it might help you get hired as a modeler.

> You likely wouldn't be able to do quantitative trading own your own while working at a quant Sell-side bank like JPMorgan, HSBC, then yes you are correct. Buy-side hedge fund or prop shop, no you are wrong. The SEC/CFTC does not care what you trade in your personal account.

I meant that logistically you'd not be able to do it.

Sure you can still trade of course. but you might need things like preauthorization for every trade, and have to hold them for a given time before selling, which kinda makes algorithmic trading more difficult.

But hey ya'll just pile on. o/

Re: Ask HN: How to get into quantitative trading?

#76

Post by worik »

cltby wrote: post #23
worik wrote: post #17

You should know this is a really bad idea, unless loosing money is your goal "Automated" trading, even if there is an edge (and unless you are a crook, there is not) will sink you with transaction costs You should know this.

> (and unless you are a crook, there is not) What sort of shenanigans do you think profitable automated traders are engaged in?

Insider trading

Market rigging

Survivor bias (not shenanigans that one)

Re: Ask HN: How to get into quantitative trading?

#77

Post by User3456335 »

worik wrote: post #76
cltby wrote: post #23

Earlier quoted context omitted.

> (and unless you are a crook, there is not) What sort of shenanigans do you think profitable automated traders are engaged in?

Insider trading Market rigging Survivor bias (not shenanigans that one)

Insider trading: there's a lot of information freely available that can be used to make predictions

Market rigging: the market can be affected by your behaviour without you rigging anything

Survivorship bias: this can be argued for any competitive industry. Don't engage in it unless you're good at it.

Re: Ask HN: How to get into quantitative trading?

#78

Post by User3456335 »

SturgeonsLaw wrote: post #73
affyboi wrote: post #63

Earlier quoted context omitted.

Citadel securities is the market maker, Citadel is the hedge fund and doesn’t have access to data from the other side

Did they pinky promise not to access the data or are there some actual barriers in place?

It being illegal seems like a pretty big barrier to me.

Re: Ask HN: How to get into quantitative trading?

#79

Post by TheAlchemist »

bluepizza wrote: post #61
TheAlchemist wrote: post #51

Earlier quoted context omitted.

Strategies have limits on how much money they can manage. By limits, I mean - either it's impossible to put in more (could be because there are no more counterparties to trade with above a certain amount) or it would significantly decrease performance.

And in the 30 years since closure, which has seen China, USA, and Europe boom and multiply in size, somehow the strategy still has limits? My questions are valid, and there might be valid answers. We don't know, because nobody knows how Medallion works. All we know is that nobody else can replicate it, not even RenTech itself. Which makes asking questions very important.

Yes, it would still have limits. There are several trading / arbitrage companies that are bringing roughly the same money over the years - for the past 20 years (I used to work for one).

That being said, RenTech is indeed very interesting. For all we know, it could be a money laundering operation or something similar to Madoff's structure. Or they are just very very good, or lucky. Time will tell !

Re: Ask HN: How to get into quantitative trading?

#80

Post by markus_zhang »

tim333 wrote: post #71
markus_zhang wrote: post #33

Just curious, is there still non-quantitative professional (not-retail) trading in the forex or future or fixed income market?

Glancing at linkedin it still seems to going strong https://www.linkedin.com/jobs/foreign-exchange-trader-jobs-l... I had a friend who was a forex trader at large banks and a lot of it is reading the psychology of the other people in the market. I think humans probably still have an edge there. He made a lot of money then did a lot of drugs then went a bit mad. One of the drawbacks of humans there.

Interesting, thanks for the pointer. I thought everything moved to algo now...
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