A number of industries could become so much more "genuine", i.e. with some "screening tests".
Thursday, April 29, 2010
A need for Screening Tests
Friday, April 23, 2010
Game Theory utilized by CIA
Bruce Bueno de Mesquita (a professor at New York University and senior fellow at the Hoover Institution at Stanford), has helped the American CIA, via Game Theory, predict foreign geopolitical moves years ahead of time with 90% accuracy. This is pretty cool.
Tuesday, April 20, 2010
Quant skills
Let's look at some skills in demand today at Quant Finance Jobs. The employers are mostly hedge funds and the average salary: $200K USD + %PnL (Percentage of Profit/Loss).
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1) Quant Trading Analyst-Algorithmic Trading Team-London
London, United Kingdom
Interested candidates should have extensive experience in the following;
• Time Series Econometrics
• Alpha Construction
• Bayesian Statistics
• Transaction Cost Modelling
• Black Litterman modelling
• Portfolio optimisation
2) Ultra high frequency Statistical Arbitrage Trader
New York, United States of America
Requirements:-
Candidates will have a background in the high frequency trading space, with experience creating and managing strategies with a high Sharpe Ratio, high ROC and holding little to no overnight positions.
3+ years experience of researching, back testing and deploying systematic trading strategies straddling multiple asset classes including equity index, currency, fixed income and commodities. Futures experience would be ideal.
Ivy League calibre PhD in a hard science
Strong to expert programming skills in C++.
Candidates should be innovative and analytical thinkers with strong communication skills.
3) High Frequency Quant Trader
New York or London, United States of America
Required Skills and experience
PhD from a top tier University in Computer Science, Mathematics, Statistics, Engineering or related subject
Strong hands on programming experience in C++
Experience with analytical packages such as Mathematica, Matlab, PyLab or R
Between 1-3 years experience of developing, implementing and trading high frequency trading strategies across any asset class.
Strong quantitative skills and experience
Passion for solving complex problems and drive to success
We can see that strong mathematics is a must, and computer science a close 2nd, or an ivy league PhD in a "Hard Science" (I'm thinking physics, statistics). So knowing what the hedge funds possess and utilize, how does the average private trader compete and survive, profitably?
Just some ideas
- Invest time and energy to gain necessary skills to level the playing field
- Find ways to quantify institutional buying/selling pressure (but risk being always a bit behind)
- Raise enough money to influence and exploit the markets like Soros or Buffet
- Hire a quant...
Monday, April 19, 2010
A Non-Random Walk Down Wall Street (Free PDF)
Awesome stuff, this is where Andrew W. Lo and A. Craig MacKinlay show analytically (i.e. statistical evidence) that stock prices are not random, but actually deterministic. The Princeton University Press has taken the trouble to make it freely available in PDF format.
(Click on the book cover for link)
Subprime mortgages in NZ
Overheard from a very popular Auckland talk radio station this morning during an ad break, "... little or no down payment mortgages!... no down payment for those under $300,000!" Yeah, in America those're called "Subprime Mortgages", it actually precipitated a Subprime Mortgage Crisis :D
So it begins, party time in New Zealand!!!
Monday, April 12, 2010
Is complicated math necessary for profitable trading?
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So the next logical question remains, does all that work improve forecast accuracy significantly? More importantly, would it offer significantly more efficient volatility arbitrage strategies? We need empirical findings!
The fact that the above applies "standard arbitrage arguments", an assumption of no arbitrage, makes it not as desirable. Wilmott makes a really good point here, "So, many know all the ins and outs of the most advanced volatility models based in the classical no-arbitrage world. Well, what if your job is to find volatility arbitrage opportunities?"
Thursday, April 8, 2010
Implied/Realized volatility arbitrage
Pretty good article of exploiting index volatility discrepancies for a statistically expected profit.