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"outstanding quantitative skills" - what does this mean in trading context?
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"outstanding quantitative skills" - what does this mean in trading context?

  #1 (permalink)
Chicago
 
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"outstanding quantitative skills" - what does this mean in trading context?

I am looking to improve my own trading, (and maybe look at trading jobs), so I have been looking through some prop firm job postings.

One was Optiver, they seem to have a good philosophy, but I don't know from a trading context
what "outstanding quantitative skills" would mean.

I have many questions but I'll only post two:
a) How do some of you guys apply probability/statistics, or other math to your own futures trading? What areas should I look into? I only really do little things to track my progress but I would like to expand my quantitative knowledge.
(They do mention "Performing Stochastic-Calculus analysis for variance volatility" which sounds cool
but is beyond my skill set. I could take a crack at learning it if it would improve my trading though, I am open to all potential edges.)

b) what are the parallels and differences between being an independent trader and trading at a firm (one with salary, etc), ie. how do you know if you would be a good fit? Note: I think this is probably too broad of a question. I am really looking for guidance, I want to grow, but I don't know if working at a prop firm is a good fit.

Thanks, and pardon my novice questions!

cheers,
snax


Last edited by snax; March 13th, 2019 at 02:00 PM. Reason: grammar. general clarification.
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  #2 (permalink)
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  #3 (permalink)
Los Angels
 
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snax View Post
b) what are the parallels and differences between being an independent trader and trading at a firm (one with salary, etc), ie. how do you know if you would be a good fit? Note: I think this is probably too broad of a question. I am really looking for guidance, I want to grow, but I don't know if working at a prop firm is a good fit.

The difference between trading your own capital (independent trade) and trading for a salary (at a firm) is based on your personal style.

-Do you need a paycheck?
-Are you capitalized to handle 10 times the your expected losses?
-Can you sustain a loss period? How about 2-4 times that long?
-Are you able to SIM trade 6 months before live trading?
-How many hours do you have for ongoing research?

How many hours (months/years) have you spend perfecting you system?


Last edited by SidewalkAerobics; March 13th, 2019 at 08:00 PM. Reason: List formatted incorectly, decreased amount quoted for readabliity
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  #4 (permalink)
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Thank you, SidewalkAerobics. That makes sense.

Ideally I would like to be independent and focused 100%, I really just want to be around trading more as my time to devote is currently limited. I can try applying to places and maybe that would answer questions but I also can always keep improving on my own.

Cheers!

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  #5 (permalink)
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You might want to look at some of these job postings for examples.

https://www.indeed.com/q-Quantitative-Trader-jobs.html

In short
  • Programming skills (R, Python, Java, etc)
  • Ability to gather, combine and analyze large sets of diverse datasets
  • Strong applied mathematical and statistical analysis skills
  • Experience with trading and markets
  • Machine Learning, AI are a bonus

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  #6 (permalink)
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Thanks Shodson, these are exactly the listings I've been looking at... Some of these sound ok, a lot of these "trader" positions sound like what you'd really be doing is c/c++ optimizations to shave microseconds, I wouldn't know without talking to them. (I actually have a tech background but I don't know that I want to just be automating everything but who knows), I guess to understand how they are applying the "quantitative" aspect of trading to their strategies I'd have to talk to them.

Edit: take this for example:
"Understanding in advanced Mathematics: Calculus, Stochastic Processes, Linear Algebra, Statistics and Optimization
Working knowledge of statistical analysis, numerical linear algebra, machine learning or convex optimization
Intermediate programming skills in python (C++ is a plus)
Ability to process complex information quickly and accurately under pressure"

Example of what I don't understand, how does "applying convex optimization accurately under pressure" make for better trading? Maybe they need to whip up fast models to test strategies and blast them out before the last hour of a session?!

Edit to the edit: I am sleepy and probably not expressing my questions very clearly. Here's what I know:
- I like trading futures and would like to get really good at it. But there are many paths I could take.
- I would like to understand all my options towards this path of getting really good. Can I trade similarly to how I do now?
- I think quantitative skills can help me trade for myself now. I would like to investigate this.
- I'm tired and full of questions

Thank you!


Last edited by snax; March 13th, 2019 at 09:52 PM. Reason: give example of my cluelessness
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  #7 (permalink)
charlotte nc
 
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An example of quantitative analysis

Hi snax,

I can't field most of your questions, but I can share with you an example of in depth quantitative analysis.
I work professionally in the data science / analytics field, but unrelated to trading.

I have shared a few edges on here in the past. Here is an example that might be useful to you.

Here is a post within a thread I started on the topic of microstructures: https://futures.io/emini-index-futures-trading/46299-market-microstructures-red-pill.html#post707950

In isolation this might not make a whole lot of sense, but if you read the full blog this will explain the scope of the analysis a little.


Ian

In the analytical world there is no such thing as art, there is only the science you know and the science you don't know. Characterizing the science you don't know as "art" is a fools game.
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  #8 (permalink)
Market Wizard
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snax View Post
I am looking to improve my own trading, (and maybe look at trading jobs), so I have been looking through some prop firm job postings.

One was Optiver, they seem to have a good philosophy, but I don't know from a trading context
what "outstanding quantitative skills" would mean.

I have many questions but I'll only post two:
a) How do some of you guys apply probability/statistics, or other math to your own futures trading? What areas should I look into? I only really do little things to track my progress but I would like to expand my quantitative knowledge.
(They do mention "Performing Stochastic-Calculus analysis for variance volatility" which sounds cool
but is beyond my skill set. I could take a crack at learning it if it would improve my trading though, I am open to all potential edges.)

b) what are the parallels and differences between being an independent trader and trading at a firm (one with salary, etc), ie. how do you know if you would be a good fit? Note: I think this is probably too broad of a question. I am really looking for guidance, I want to grow, but I don't know if working at a prop firm is a good fit.

Thanks, and pardon my novice questions!

cheers,
snax

I've actually done and passed Optiver's numerical math test which was (still is?) a precursor to their interview process. It's a sequence of easy arithmetic questions to be solved in a time constrained setting. So technically they're looking for the ability to do mental math quickly primarily. Aside from that, you'll be fine if you are able to solve probability problems at the level of Mosteller (https://www.amazon.com/Challenging-Problems-Probability-Solutions-Mathematics-ebook/dp/B00A3M0VV8) for trading jobs at Optiver, otherwise for modeling jobs you'll need a slightly larger skill set.

As for whether you should be an independent trader or trade at a firm, the same question applies if you enjoy a sport and wonder if you should join an Olympic team or attempt the tryouts. For some people, sport is about recreation, but for others, it's both a livelihood and a craft that they're dedicating a good part of their lives to hone. Ask yourself the same question except applied to trading.

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  #9 (permalink)
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iantg View Post
Hi snax,

I can't field most of your questions, but I can share with you an example of in depth quantitative analysis.
I work professionally in the data science / analytics field, but unrelated to trading.

I have shared a few edges on here in the past. Here is an example that might be useful to you.

Here is a post within a thread I started on the topic of microstructures: https://futures.io/emini-index-futures-trading/46299-market-microstructures-red-pill.html#post707950

In isolation this might not make a whole lot of sense, but if you read the full blog this will explain the scope of the analysis a little.


Ian

I've actually been reading this thread, thank you! I don't actually know how to approach the information in it, so I found "Mind over Markets" by Dalton and I just
started reading it to start getting my hands dirty thinking about the auction process, order-flow, etc. Awesome stuff.


Last edited by snax; March 14th, 2019 at 08:52 AM.
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  #10 (permalink)
Chicago
 
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artemiso View Post
I've actually done and passed Optiver's numerical math test which was (still is?) a precursor to their interview process. It's a sequence of easy arithmetic questions to be solved in a time constrained setting. So technically they're looking for the ability to do mental math quickly primarily. Aside from that, you'll be fine if you are able to solve probability problems at the level of Mosteller (https://www.amazon.com/Challenging-Problems-Probability-Solutions-Mathematics-ebook/dp/B00A3M0VV8) for trading jobs at Optiver, otherwise for modeling jobs you'll need a slightly larger skill set.

As for whether you should be an independent trader or trade at a firm, the same question applies if you enjoy a sport and wonder if you should join an Olympic team or attempt the tryouts. For some people, sport is about recreation, but for others, it's both a livelihood and a craft that they're dedicating a good part of their lives to hone. Ask yourself the same question except applied to trading.

Thank you very much artemiso, did you enjoy the interview process?

1) we've known in tech for a while that there are flaws in the interviewing process. You want to know that somebody is enthusiastic about coding, software-design, building a robust distributed-system, or whatever, but you also want to know if you're a good fit and traditionally I think tech has (and knows it has) focused maybe too much on the white-board mental gymnastics of it ("solve this problem, oh wait! we tricked you! you were supposed to use dynamic programming and matrix-exponentiation because once 'n' becomes large the sun will go nova before your algorithm finishes"). Out of college this was all I prepared for because I knew I would ace the other parts of the interview because they were like filler at the time. We're tying to change this process for the better.

2) I know that right out the gate joining a firm would be a hurdle. I am pure-tech so it would be a career change in their eyes, plus I am not a math olympiad star. I can hack out some quick mathematical stats and stuff but I would really have to grind for a while. Maybe I'll check out that book. I have a lot of good ones from college still. "Discrete Mathematics and its Applications" by Rosen is great, TONS of problems to work out, really high-quality book, though its really computer-science focused when it comes to probability so may not be everyone's cup of tea.

3) I guess my uncertainty lies in whether I would even like the type of trading you do at these firms assuming they liked me and thought we were a good fit. The types of trades you enter and the strategies involved must be light-years different when you're paying for order-flow and competing against other market-makers, etc.

4) FT71 seems to describe the types of trading a lot of us here on the forum do, but I have no idea how that model of firm differs from something like Optiver.

In summary, I'm going down an exciting path, I just don't want to miss opportunities to grow!

Thank you again for your post, artesimo!

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