@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.'

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

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.

Thanks for sharing this Artemiso, it's always great to hear that someone is pursuing a path in which they have true passion and love for, nothing is better than that. I feel that when you have a passion for something, you work toward becoming great at it. When you work towards being great, and occasionally discover (even minor) justification for what you are working towards, it is a feeling of enlightenment, or epiphany. Without following a path that you truly love, it would not be possible to experience these feelings repeatedly. Further, when you reach these various vindications of your desires, it pushes you further and further wanting to discover more and more. Most importantly, when you fall flat on your face from time to time, you have the will to get back up and keep going, opposed to giving up and looking for something else.

Thanks again for sharing.



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.

I bolded a very important part. This is absolutely true, and part of the reason as to why I stated earlier that simply falling in the 99.999 percentile in some type of mathematic/physic based subject is not enough to grant you with instant success over everyone else. You need to have the right type of mind to take advantage and correctly implement it, OR, be working with someone who has the right mind!

Great insight here. By chance I happened to be reading about LTCM's collapse earlier today, with a large emphasis on their quantitative risk-management approach. Just to clarify, your saying that your friend stated that the quants at the firm believe in what they are doing and that it works, yet in reality, it has no relation to the reality of the world/markets. Or were you saying that the quants believe in what they are doing to an extent, but they accept it truly cannot control risk or foresee unseen things in the world?

Thanks. They thought their maths trumped reality - and we both know how that turned out ... different firms but same delusions.

Both books by Euan Sinclair and Ernie Chan would be good to start with.

Past that you probably want to get some exposure to probability and time series analysis.

Probability wise my fav is Kolmogorov's chapter in Mathematics: Its Content, Methods and Meaning. That is just as good as it gets.

Time series analysis, pick a programming language and get to work analyzing.

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I loved this blog when it was active
Tr8dr | Systematic Models & Strategies

There are a bunch of Richard Hamming lectures on youtube that are fantastic although not specific to finance.