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visits member for 2 years, 10 months
seen Feb 6 at 7:19

Jan
5
comment Is equity market making a game of speed?
I've talked to someone at an HFT firm and someone at Fidelity, and both said that speed is of the essence. I can't say if your friend is right or wrong, but he seems to be the exception rather than the rule.
Jan
2
comment What quantitative strategies were successful through the 2008 crisis?
Mostly the latter. Though I would also be interested to know how those successful techniques led to good factor exposures without someone sitting down at some point and thinking "Commodities are going to crash" or "housing is in for a downturn".
Jan
2
asked What quantitative strategies were successful through the 2008 crisis?
Jan
2
awarded  Supporter
Dec
30
comment What is the relation between return volatility and return rank volatility, and how can I control the latter?
What is that optimizer, if I may ask (or the method it uses - I should be able to implement most reasonable optimization methods). Is there a way other than a covariance approach to focus on extreme movements? Maybe incorporating stuff like knowing there's an upcoming announcement?
Dec
29
comment What is the relation between return volatility and return rank volatility, and how can I control the latter?
Example: suppose I have a portfolio that I invest in a single stock each day. I can make the distribution of the "rank" of my stock uniform trivially (choose a random stock). If I could hypothetically have a 50-50 chance of choosing the best stock or the worst stock, my portfolio will perform extremely well (I tested this out). When I say I want a high-volatility distribution on rank, what I mean is that I want the standard deviation of rank (or the mean absolute deviation, or whatever other measure you care for) to be large. E.g. I want a "smile" distribution instead of a uniform or normal.
Dec
29
awarded  Student
Dec
29
asked What is the relation between return volatility and return rank volatility, and how can I control the latter?