radikalus

12 ms·

61.
by radikalus 13y ago
I've only skimmed very briefly each chapter, but I'm a pretty big fan of PyMC and am extremely impressed from what I saw regarding its use and how to think about optimization problems from a Bayesian framework. Chapter 5 and the Dark World
62.
by radikalus 13y ago
Greenlight Trading (Chicago, ???) -- Full Time, Intern We're one of the many, many HFT startups in Chicago; we're looking for C/C++ people who love sockets (TCP/UDP not wrenches). Hardware design skills are a plus. (Verilog/VHDL/OpenCL not
63.
by radikalus 13y ago
How's the tech meetup scene in Tokyo these days? I'm there 3-4 times a year, but in previous years, I haven't really found much to crash.
64.
by radikalus 13y ago
I'm definitely excited to play with this; I do a lot of manifold, subspace etc type stuff in finance and am slightly terrified of DBNs but see them as the necessary progression in what I'm working on.
65.
by radikalus 13y ago
Yup -- this is the most common stack for quant nerdotry
66.
by radikalus 14y ago
Beautiful presentation; really loving all the stuff built on top nbviewer. As an aside, I think an enterprise-quality zipline solution could be a worth a pretty fat chunk of $$ especially considering that the budget for KX and its support i
67.
by radikalus 14y ago
Interesting practice project; I think the distinction between algorithmic trading and HFT is largely one of semantics. I think we just generally label the higher latency, lower frequency strategies old fashioned 'stat-arb' -- this better co
68.
by radikalus 14y ago
I use HDF5s for storage/analytics of tick data; my experience has been that the performance for storing large sparse matrices is both expensive in storage space and speed. I know that a lot of my peers in HFT have an illicit love for column
69.
by radikalus 14y ago
This would be awesome. (Time to bust out your DBNs)
70.
by radikalus 14y ago
Most everybody I know (in the field) is in disbelief concerning the length of time the Knight disaster unfolded over. I've had systems "loop" in BAD ways, but never for more than 1-3 seconds. Safeties are paramount in the field. There's man
71.
Knight Trading's 440 Million Dollar Blunder(bloomberg.com)
3 points by radikalus 14y ago|0 comments
72.
by radikalus 14y ago
It slightly terrifies me that all the most popular groups are variants of "No fap"
73.
by radikalus 14y ago
Until the pay is comparable to finance, good luck? I'd love to work on (arguably) cooler problems, but the combination of lower pay and the constant need to use the "hot new thing" to solve problems doesn't make transitioning look remotely
74.
by radikalus 14y ago
This hits very close to home for me as well. (I constantly witness how the race to lowest latency is a race to lowest security and lowest safety) To be fair, a lot of exchanges mandate specific order validation pre-checks and specific firew
75.
by radikalus 14y ago
You need to make a lot of money to finance your spaceship startup.
76.
by radikalus 14y ago
One would think, with the story coming from Bloomberg, that they might mention that finance almost exclusively hires older programmers. Hedge funds, trading firms, and even the banks place a significant premium on expertise and are generall
77.
by radikalus 14y ago
A pretty small subset of HFTs are building their own hardware from my perspective; there's a lot of people claiming to be doing awesome stuff on FPGAs.
78.
by radikalus 14y ago
I think to be successful your team needs to be strong in four key areas: - Trading (Strategy) - Software - IT - Research There isn't necessarily one of the four that trumps the rest, and different players have different relative strength
79.
by radikalus 14y ago
I strongly advocate pace as well; I don't think it's THAT dependent however on hours/week. I prefer working longer hours when my pace is high and working less when I'm feeling not very effective.
80.
by radikalus 15y ago
I think it is dangerous to "teach" people that they should only do what they love. So much of character comes from the determination to "do the right thing" even if that isn't what you want to do at that particular moment. I take a lot of p
81.
by radikalus 15y ago
Random "fact" 1. Random "fact" 2. Priorities.
82.
by radikalus 15y ago
Why did I read that as expert-sex-change?
83.
by radikalus 15y ago
It instead was "nerds are too nerdy"
84.
by radikalus 15y ago
This is slick...but: How often do you want to generate random walks of this type where the variance of the process isn't dependent on its current level? Observe that, as you increase the standard deviation of the random normal (to even .1),
85.
by radikalus 15y ago
One counterpoint is that at the bleeding edge of low-latency, pattern analysis and sig-int become once again extremely meaningful. Can you execute your strategy faster than your opponents if you go to a slightly more aggressive (less arbitr
86.
by radikalus 15y ago
This looks pretty excellent. (Based on my playing with it for 30 seconds) I'm constantly underwhelmed by Bloomberg and would love to see more players in news aggregation/analysis space in finance.
87.
by radikalus 15y ago
Awesome. Perhaps allow for annualized salaries?
88.
by radikalus 15y ago
I forgot all about this
89.
by radikalus 15y ago
Yeah, it's an acutely self critical meme. I might jokingly label myself a "finance douchebag" but it's more a dig at my peers than an affirmation of the industry's behavior patterns. The culture was becoming frat-house/locker-room long befo
90.
by radikalus 15y ago
I'd imagine tanimoto or cosine similarity would get you most of the way there while being very off-the-shelf. If you're going to go the route of binary classification, I'd personally do it via RFs as variable importance (product importance)

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