consz

23 ms·

181.
by consz 11y ago
Do you consider taxing a rich person the same as devouring them? If not, what do you think is the point of your hypothetical?
182.
by consz 11y ago
The bosses in the typical quant firm are also quants themselves, and have no trouble following the rigor used to justify the validity of a trading strategy. Sure, at a certain point in the chain, you're talking with someone (eg. COO) w
183.
by consz 11y ago
By money, do you mean IOUs? Who's handing out the IOUs during illiquid times? Certainly not the exchange, they have no interest in bearing risk of holding actual positions, they're merely providing a marketplace.
184.
by consz 11y ago
Have you worked in a variety of quant funds? What makes you think markets are too complex to model? What evidence do you have that the models used at successful shops are not sufficiently rigorous?
185.
by consz 11y ago
So what's your point? Sure, you can mess up your test -- does that mean you shouldn't trade? Does that mean you shouldn't run validation tests at all?
186.
by consz 11y ago
There are a number of traditional statistical methods for validation that can be used to answer this type of question. These sorts of firms have some of the largest private clusters in the world, they are certainly capable to and do answer
187.
by consz 11y ago
How do you measure what the profits from his illegal trading was? It's not like he ran this one strategy unchanged for years -- only some percentage of his orders fall into non-bonafide.
188.
by consz 11y ago
What is unconscionable about algorithmic trading?
189.
by consz 11y ago
Equity exchanges run the matching engines for a ton of symbols on one core. For example, Arca load balances 3000+ US equities across four cores -- island does it across a 24 core machine, but the outgoing message queue is shared across all
190.
by consz 11y ago
Agreed. I actually do believe that it's a pretty easy field to get into (I started learning freshman year of college having never coded before, and picked it up well enough by graduation to be successful in HFT) -- but there's n
191.
by consz 11y ago
The person offering the cheaper price is hurt, because someone offering a worse price is getting filled before him. Essentially, the moral argument of Reg NMS is to enforce price-time priority in a distributed system. Whether it actually ac
192.
by consz 11y ago
HFT requires low latency on their reactions , not the entire transaction. In IEX's situation, there are two major cases -- (1) A person decides to cross the spread on IEX first -- in this case, their order will be delayed by 350us (or
193.
by consz 11y ago
Wouldn't drivers just be on both apps? Most of the drivers I've talked to just run on both and get the first customer from either one.
194.
by consz 11y ago
But the information is public -- anyone can read the tweet as soon as it comes out, a computer just happens to do it a lot faster and better than a human.
195.
by consz 12y ago
What proof is there that creativity, adaptability, tenacity are better skills to have than the ones tested in the article? Or that the skills you mentioned are not consequences of the ones mentioned in the article?
196.
by consz 12y ago
If your goal is to help your child get the best outcome they can get from college, its way more beneficial to have them focus on doing well in school and having the time to network as well as possible (especially in a school like Stanford)
197.
by consz 12y ago
I'm still not following. In what way are there not significant results from the kids in the contest? They almost all seemed to have had significant success.
198.
by consz 12y ago
Why are you acting as if these contests do a poor job training kids? The OP never suggested that -- in fact, it seems nearly all of them grew up to be very successful. Your stance seems to be in direct contradiction of the evidence offered
199.
by consz 12y ago
$1.45 per 10k traded seems really high. A good S&P futures strategy (one of the biggest products in the world) is typically going to make 60-80 cents per contract traded. Since each contract is approximately 100k, thats closer to .06-.0
200.
by consz 12y ago
Sure, but most strategies have such small positions that even if the market went to 0 instantly at your maximum long position, you'd still lose less than a year's worth of PNL in that strategy. The more relevant risk of blowout is
201.
by consz 12y ago
Agreed, errors are non-normal so 20+ sigma is practically false. But it's not too far off -- I've seen strategies that never have a down day and have daily sharpes of 2.5-3.0, and those setups will generally have incredibly high s
202.
by consz 12y ago
I don't know anybody that uses anything as weak as 2-sigma results in HFT, at least. Most of our valid signals have 20-50+ sigma.
203.
by consz 12y ago
Who cares? They can just take your cookies and throw you aside, you yourself are not unique. There's always going to be a bunch of gullible saps willing to work hard that you can tax and take from -- it doesn't matter that they ge
204.
by consz 12y ago
Might makes right. If the rest of the world wants your cookies, then of course they can take it -- you'd either have to give it up or take a bullet to the head.
205.
by consz 12y ago
You can't wait to hear back from the other exchange and see that the leg is available, "pure" arb teams in HFT typically quote on both products of a pair (e.g. cash vs futures FX), at favorable prices (e.g. I'll quote a
206.
by consz 12y ago
This guy doesn't sound too bright. His best plea to the judge was, what, that he could be a motivational speaker for not obviously flaunting AML laws? He really couldn't come up with anything better than that?
207.
by consz 12y ago
Totally agreed. I do model analysis on data sets with 200k-5m rows and anywhere from 500 to 20k columns. I originally started doing my work in R, but about two years ago, python started improving rapidly for heavy data analysis, and at the
208.
by consz 12y ago
Prop shops don't have salesmen (at least, none that I've ever seen).
209.
by consz 12y ago
I was talking about 130k in any one strategy. I'm sorry you misunderstood me. A single strategy is easily capable of losing that much. Any bond futures or cash bond strategy post-FOMC. Any equity index futures strategy during Twitter &
210.
by consz 12y ago
okay

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