15
votes
What is the trickiest thing to get right in Rates Quant recently (2019)?
Of course making money is always the key issue. That (not completely facetious) comment aside:
On the practical side, in many firms IT is struggling with being clear, transparent, and intuitive in ...
- 501
12
votes
Accepted
Pre-requisite math books, to the pre-requisite math needed to become a front desk quant
Really you need a degree
Reading any one book from the above will not set you up. Furthermore, you will find yourself trapped in a cycle, where really none of the books you suggested can be read in ...
- 1,409
9
votes
What are the differences between Pareto, Fréchet, power law, fat tails and fractal?
Probably, the statement $\small \text{Pareto} \iff \text{Fréchet} \iff \text{fractal} \iff \text{power law} \iff \text{fat tailed}$ may not be completely accurate. For instance, there are ...
- 305
9
votes
Accepted
Making a beeline to statistical arbitrage
I get this question frequently from academic types, and happily for you, the path does not involve any of those books.
The major gaps in your knowledge, from the point of view of statistical arbitrage,...
- 15k
7
votes
Where can I find detailed information of famous quant companies such as Renaissance Technologies?
Most RIAs have to file a Form ADV, through which some information is publicly available via SEC's website.
Further, large RIAs are sometimes involved in high profile civil lawsuits through which ...
- 2,705
5
votes
Good quant finance jokes
Read it somewhere...
What is the difference between a bond and a bond trader?????
The bond matures.
Here's another.
What is the difference between a hedge fund and a mutual fund?
Mutual funds returns ...
4
votes
Good quant finance jokes
A Banker explains another banker why he is not getting married ...
"She is hot, but not half my fortune hot".
4
votes
Good quant finance jokes
My girlfriend borrowed £100 off of me.
After 3 years when we broke up, she returned £100.
I had no interest in that relationship.
4
votes
Where can I find detailed information of famous quant companies such as Renaissance Technologies?
For Rentech, try the Greg Zuckerman book, "The Man Who Solved the Market: How Jim Simons Launched the Quant Revolution".
HSBC Hedge Fund Report might be of use for other funds.
- 2,292
3
votes
Accepted
Is it fair in an introductory stochastic calculus/derivatives pricing class to ask for the price when absence of arbitrage is violated?
This is an opinion-based question.
In practice, sometimes one needs to calculate mark to market and also various risk measures under risk scenarios that stress/perturb market data so much that ...
- 13.2k
3
votes
Target variables in high frequency trading
What you need depend on what you are trying to do (note that the rest of the explanation is very simplified).
If your target is to execute a big order, you can use a short term mid price prediction to ...
- 51
3
votes
"Dusty Corners of the Market" and Limits-to-Arbitrage
What are some indicators that a given security might be inefficiently priced?
What about efficiently priced (i.e., how can we estimate the
degree of information already baked into price)?
You would ...
- 4,368
3
votes
Who benefits from more fair market?
You might find this paper interesting: "Does Finance Benefit Society?"
It's a very complicated question and in my opinion the above paper provides a nuanced answer.
- 1,074
3
votes
MLFinLab package for financial machine learning from Hudson and Thames
I just started using the library.
So far I am pretty satisfied with the content, even though there are some small bugs here and there, and you might have to rewrite some of the functions to make them ...
- 61
3
votes
MLFinLab package for financial machine learning from Hudson and Thames
Mlfinlab covers, and is the official source of, all the major contributions of Lopez de Prado, even his most recent. Given that most researchers nowadays make their work public domain, however, it is ...
- 3,090
3
votes
The ambiguity of the term "duration"
The simplest workaround is actually to forget that Macauley duration exists. I actually feel very strongly about this: Macauley duration shouldn't be taught in school, should be mentioned only in ...
- 11.9k
3
votes
Good quant finance jokes
A photographer and a quant have one thing in common, as they both fall in love with their models...
2
votes
Good quant finance jokes
...starts thinking about sexual encounters in term of their Sharpe Ratios.
2
votes
Good quant finance jokes
There are 10 kinds of people out there. Those who understand binary maths and those who don't.
2
votes
Discussion on random matrix theory and impact on PCA
Hi: I don't follow your question totally but I can comment on one aspect of it. ( So this is not an answer ). The ideas that A) stock returns are geometric brownian motion processes and B) that PCA ...
- 1,178
2
votes
Accepted
AFML (by Lopez De Prado) Vs ESL by Trevor Hastie
As mentioned in your question, that "if ML for finance" is concerned, then I think De Prado's book should be preferred, since his book puts more emphasis on how to apply data science ...
- 522
2
votes
Accepted
Advances in retail modelling
There is a big different between the financial intermediation (that can use a risk-neutral approach to prevent too large misalignment of valuations that would be due to disparities of risk aversions), ...
- 12.6k
1
vote
Is the impact of "small" orders on market dynamics more than is commonly assumed?
If the assumption that a "small" order does not affect price dynamics is not false. Nevertheless, in the context of backtest, they are other aspects that cannot be neglected:
During a back, ...
- 12.6k
1
vote
Knightian Uncertainty Iff Bayesian Probabilistic View Point
You have a correct understanding. There is a subtle difference in that Knight effectively distinguishes uncertainty from chance. It could be argued that there is no such thing as chance in the ...
- 4,329
1
vote
Is it necessary to enter quantitative finance directly after a PhD or is taking time out to 'study up' considered acceptable?
If you would like to obtain a job as a quant first you have to pass a job interview in a company. During the job inteview you will be asked about basic math (derivative, integral, limit, etc.), ...
- 352
1
vote
Works of Nassim Taleb
The papers mentioned in Taleb's CV are not linked to actual PDF files.
To get them, an advanced search on Fooled By Randomness website will do the job,
site:fooledbyrandomness.com filetype:pdf pdf
...
- 111
1
vote
Good quant finance jokes
Why are quants never ripped off in Bangkok?
They are good at pricing exotics.
Why do quants look so happy?
They work on volatility smiles.
What is the difference between a used car salesman and a ...
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