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Quantitative Trading - Recommended Books?
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Quantitative Trading - Recommended Books?

  #21 (permalink)
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@artemiso

Also, just some advice, but I don't mean to dissuade you from trying: If you want to make money from sprinting, you're setting the game up so that the person with the fastest legs wins. If you want to make money from mathematical trading, you're setting the game up so that the the smartest mathematician (and your broker) usually wins.


In reference to this statement, do you feel that there is a more advantageous way to go about this? You say I am "Setting the game up" basically against me. I'm not sure if you are saying this from an HFT standpoint, or simply the road I am going down in general regarding running a fund and establishing a profitable strat.

For ex. could you say the same thing if I were to say, I want to find companies who are undervalued by analyzing their balance sheets and corporate information then invest in them. Couldn't you say I am setting myself up to compete against Buffet and top value investing hedge funds?

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  #22 (permalink)
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Are you looking at just HFT and DMA trading or Quantitative as in systematic trading. Quants are so much more then just the ones working on HFT. If you are looking to be more of a systematic/Algo trader I would strongly suggest looking at Perry Kaufmans work.

Amazon.com: Trading Systems and Methods, + Website (9781118043561): Perry J. Kaufman: Books

Anyways, best of luck.

Sody

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  #23 (permalink)
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I want to further clarify for those reading this thread and following along.
I am not trying to get into a 100% HFT business. That is not my reasoning for this thread nor is it my reason for wanting to get deeper into quantitative finance.

My reasoning is for a couple things, I feel that knowledge is power, and having a knowledge in something powerful that can harness the power of computing seems advantageous. There are various "Quantitative" funds that are not 100% Ultra high frequency trading. Instead, it is ammunition in the funds belt for which they can load their profit gun with potentially. <-- Amazing analogy, I know…
This brings me to my second point, the world of computing is becoming very powerful and even more powerful in regards to the markets, I would like to have a strategy / knowledge that allows me to work hand in hand with computers in order to extract any edge I can out of the markets. This is also why I dedicate so much time to becoming a proficient programmer.

I felt that a bit of clarification would help others to better grasp where I am going with this. I'd be happy to further talk about it as well!

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  #24 (permalink)
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SodyTexas View Post
Are you looking at just HFT and DMA trading or Quantitative as in systematic trading. Quants are so much more then just the ones working on HFT. If you are looking to be more of a systematic/Algo trader I would strongly suggest looking at Perry Kaufmans work.

Amazon.com: Trading Systems and Methods, + Website (9781118043561): Perry J. Kaufman: Books

Anyways, best of luck.

Sody

I am NOT strictly referencing HFT based Quant trading, no. I feel that DMA is a fantastic additional edge/advantage to have in any aspect of auto/algo trading though. Yes I agree, which is why I clarified myself above, which I believe you did not get a chance to see before you sent this reply in!

Thanks for the recommendation I will check it out! Have you personally read it yourself? If so, how would you describe the authors style of writing?

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  #25 (permalink)
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Limitless100 View Post
@artemiso

Also, just some advice, but I don't mean to dissuade you from trying: If you want to make money from sprinting, you're setting the game up so that the person with the fastest legs wins. If you want to make money from mathematical trading, you're setting the game up so that the the smartest mathematician (and your broker) usually wins.


In reference to this statement, do you feel that there is a more advantageous way to go about this? You say I am "Setting the game up" basically against me. I'm not sure if you are saying this from an HFT standpoint, or simply the road I am going down in general regarding running a fund and establishing a profitable strat.

For ex. could you say the same thing if I were to say, I want to find companies who are undervalued by analyzing their balance sheets and corporate information then invest in them. Couldn't you say I am setting myself up to compete against Buffet and top value investing hedge funds?

I'm saying this regardless of your choice of investment horizon. There's a nearly equal concentration of PhDs in quantitative long-term investment as there is in high-speed trading.

Yes, indeed, which is why I don't do value-investing, because that does not align with my skill set.

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  #26 (permalink)
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artemiso View Post
I'm saying this regardless of your choice of investment horizon. There's a nearly equal concentration of PhDs in quantitative long-term investment as there is in high-speed trading.

Yes, indeed, which is why I don't do value-investing, because that does not align with my skill set.

Okay, your reference is in regard to the quantitative nature of it.
In that case, as I said before, there is no way to become great in anything unless your willing to beat the best, or willing to do something nobody has ever done. Both of which, are no easy task. I'm fully aware of this and am trying to best plan around my most intrinsic and natural desires so that when it gets extremely hard, I will have enough passion and desire to not stop.

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  #27 (permalink)
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artemiso View Post
Yes, indeed, which is why I don't do value-investing, because that does not align with my skill set.

What made you come to the realization that HFT was the path you were going to choose? What allowed you to see that an HFT field/firm was the skill set of choice for you opposed to say, value investing.

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Quoting 
I'm saying this regardless of your choice of investment horizon. There's a nearly equal concentration of PhDs in quantitative long-term investment as there is in high-speed trading.

@artemiso, @Limitless100

I've enjoyed your discussion and found it interesting, thanks.

A programmer I used to employ in a graphics CAD company 30 years ago became CTO for such a firm, with maybe 50 of those PhD types, more on the risk-management side but the same sort of mathematical area really.

He came over a year or two ago to see me and catch up, we had a great chat over a couple of beers and eventually I got the truth out of him - he said "you know what the scariest thing is? - they believe in what they're doing, and yet they have no idea that it bears no relation to the reality of the world or the actual risk involved.'

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Limitless100 View Post
I am NOT strictly referencing HFT based Quant trading, no. I feel that DMA is a fantastic additional edge/advantage to have in any aspect of auto/algo trading though. Yes I agree, which is why I clarified myself above, which I believe you did not get a chance to see before you sent this reply in!

Thanks for the recommendation I will check it out! Have you personally read it yourself? If so, how would you describe the authors style of writing?

Yes, I have read and own it and many other books from Perry Kaufman, he is very formula driven and heavy math.. But, I think this is the type of book that you would fall in love with (like myself did). But for others reading this, its not a casual trading book and a good understanding of the markets is needed prior to reading.

As a side note, this book is also part of the curriculum for the Chartered Market Technician designation.

If you read it Limitless let me know, I would love to know your opinion.

Cheers,

Sody

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  #30 (permalink)
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Limitless100 View Post
What made you come to the realization that HFT was the path you were going to choose? What allowed you to see that an HFT field/firm was the skill set of choice for you opposed to say, value investing.

I've always wanted to improve the world in measurable ways, and loved discovering new phenomena in the abstract (science), and loved writing fast programs. I had already been doing various combinations of 2 out of 3 of those with moderate success, which got me admitted to a competitive university.

But the first time all 3 of those converged for me was in my second year of college, when I took a scientific computing course and there was a particular recursive algorithm that had only applied to 2-dimensional problems. I saw a symmetry between that problem and something else that I was working on in my research (5-dimensional data), so I decided to extend that algorithm to n-finite dimensions and proved that the algorithm asymptotically approached the correct solution at a certain rate. (This sounds like a challenging problem but it's a typical extension in mathematics and the most challenging leap of intuition is usually in the first 1 to 5 dimensions, so the difficult part of the problem was already solved for me, in my view.)

You can call that my first love. But there was something incomplete about that first love: The hardest part is to make a scientific/mathematical discovery that improves the lives of others significantly, because often, only a handful of people actually care that you solved a difficult conjecture in mathematics, regardless of its applications. It's not recognition that I was looking for, but I just wanted to solve a "bigger" problem in the worldly sense of it.

The second time all 3 of those conditions converged for me was in finance, but this time, I loved it entirely and was ready to commit my life to it, because I'm improving the world in more far-reaching ways than I had ever expected to with my obscure skills. The type of trading I'm doing is like inventing the mobile phone - it's not as grand as curing cancer, I'm not going to receive much recognition for it, but it is actually more useful than curing cancer.


ratfink View Post
@artemiso, @Limitless100

I've enjoyed your discussion and found it interesting, thanks.

A programmer I used to employ in a graphics CAD company 30 years ago became CTO for such a firm, with maybe 50 of those PhD types, more on the risk-management side but the same sort of mathematical area really.

He came over a year or two ago to see me and catch up, we had a great chat over a couple of beers and eventually I got the truth out of him - he said "you know what the scariest thing is? - they believe in what they're doing, and yet they have no idea that it bears no relation to the reality of the world or the actual risk involved.'

Well, I mean no offense to your friend - but this exemplifies why I don't like employing programmers for the research/trading role regardless of their mathematical skills, because they are often trained to only know what's right/wrong based on what they see and trial-and-error (debugging a program until it runs).

How do you know that your theory is an accurate representation of reality if it involves the interactions of electrons, or electromagnetic waves, that are not visible to the human eye or any man-made microscope? Well, in fact we do know numbers down to as fine as 0.25 parts of a billion. (Fine-structure constant - Wikipedia, the free encyclopedia) When you receive an x-ray scan, you stake your life on the accuracy and precision of these numbers.

As far as I'm concerned, finance is easier than physics; it's much easier to envision the relations to "the reality of the world" or "the actual risk" involved when you don't have to take abstract leaps of faith.

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