Nuclear Phynance
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http://www.nuclearphynance.com
Nuclear Phynance Reactor CoreNew $100k award for creating SPY strategy<br>$100k for a TA or ML based strategy to improve SPY.<br><br>https://machi.na/
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slaspinGeneralFri, 30 Sep 2016 11:00:09 GMTWhere do I fit?Hi all,<br><br>I am currently doing a PhD in Comp Sci and will hopefully be done in two years. I have a good background in pure Math, much Linux-Knowledge, and can program in Python, Bash, few C++,... but I do not master any language. Later I want to work in an intellectually challenging job in Germany or Switzerland, where I routinely learn new stuff, not some Management-bullshit where everyone wears a tie.<br><br>Where do I fit inside the quantitative job market? System developer or something like that?<br><br>Is there something like that in Germany or Switzerland? Most job offers I see are from London or NY. Or am I a lost cause and should instead do something totally different?<br><br>Thanks in advance
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ynahumCareersThu, 29 Sep 2016 20:26:26 GMTDenver / Colorado ?<br>I'm jealous when I see the Chicago and NYC drinks threads. Anyone in Colorado want to grab a beer?
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HockeyPlayerOff-TopicMon, 26 Sep 2016 21:53:33 GMTProp firm expected RoR on margin capitalHi all,<br><br>Hoping to put my best foot forward with a firm I'm working with while at business school. I am backtesting some strategies I'd like to talk to them about, and wondered if anyone can answer two questions for me:<br><br>(1) About how much margin capital should I estimate is required for a book which is balanced long-short with highly correlated equities (assume $50MM long and short)? Is there a back of the envelope calculation I should be using as an estimate?<br><br>(2) What sort of rate of return on margin capital do most prop firms (and I'm curious for hedge funds if that is known as well) expect for a new strategy?<br><br>Thanks for any advice, I'm hoping not to sound like an idiot with any of what I propose, so you help is much appreciated.<br><br>RD<br>
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rexdGeneralFri, 23 Sep 2016 20:43:41 GMTFinal year maths undergraduate seeking London prop positionAlthough this is my first post, I've been a lurker here for 4+ years, enjoying both the informative posts and the entertaining conversations.<br><br>I'm in my last year studying mathematics at one of Oxbridge as an undergraduate, looking to apply in London for full time positions as (1) a junior trader at a proprietary firm (not arcade), or, failing that, (2) an analyst in any financial firm requiring comparable quantitative skills.<br><br>I was wondering if anyone could provide a list of prop shops or quant hedge funds looking to hire new graduates in London.<br><br>I've already done a bit of research on my own, going through (1) Google, (2) my university careers website, (3) the list of ETF market makers on the London Stock Exchange, and (4) forums such as NP, WSO, etc., but I haven't found too many.<br><br>Firms I know with open positions in London:<br> - Atlantic Trading<br> - Citadel<br> - D. E. Shaw<br> - DRW<br> - Jane Street Capital<br> - Jump Trading<br> - Mako<br> - Mandara Capital<br> - Maven Securities<br> - Parhelion<br> - Tibra Capital<br><br>Firms with offices in London but no open positions:<br> - ADG Holdings<br> - Allston Trading<br> - Bluefin Trading<br> - Chicago Trading Company<br> - Five Rings Capital<br> - Flow Traders<br> - G Research<br> - Headlands Technologies<br> - Hudson River Trading<br> - KCG<br> - Liquid Capital<br> - Oak Futures<br> - Principle Trading<br> - Ronin Capital<br> - Sequoia Capital<br> - Teza Technologies<br> - Tower Research<br> - Two Sigma<br> - Volant Trading<br> - Winchmore Capital<br> - Winton<br> - XR Trading<br> - XTX Markets<br><br>Can anyone shed some light on any of these firms? I know there are threads discussing some of these firms (I have read them as well), so feel free to skip on those, but most of them haven't been mentioned here; those are the ones I'd be looking for info on. I've been looking for a while and will expand my scope to investment banks, etc. once term begins, so as not be to jobless come summer.<br><br>Sorry for the long wall of text
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scophramCareersMon, 19 Sep 2016 05:28:33 GMTPodcasts, etc.I found an old thread that had a few good suggestions, but mostly out of date (posted about 4 years ago). Anybody have some good suggestions for podcasts, Soundcloud, iTunes University... anything that would be good for the walk to work?<br>
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rftx713Off-TopicMon, 19 Sep 2016 04:41:27 GMTCommon entry with potential multiple exits: sizing positionThe problem I am currrently having is essentially that I formulated some condition to enter a position and an array of different indiendent conditions to exit: how to size position when the entry is triggered? <br><br>in fact, <br>1) such conditions are triggered as events actually happen <br>2) different exit profiles have different returns, risk adjusted returns and volatility profiles (therey warranting different implicit sizing according to your model of choice).<br><br>to put with an example, I shall enter when the moving average crosses the price series and I have two exits:<br>1) I exit when the price falls below the moving average<br>2) the moon speaks to me and I telepathically transmit such signal to my trading system<br><br>in the first case I would base my sizing based on a variety of factors whereas the second case, though a career as shaman alwas interested me, is unlikely to warrant any actionable and profitable results. But when I examine my table of possible exits both strategies are accounted for. You could say that I could simply take out the 2nd strategy, and normally I would agree but what about about lesser degrees? <br><br>also this approach is wildly biased towards the strategies formulated and neglects all the events possibly triggered by the strategies that were not encoded.<br><br>how would you go about solving this problem?
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Fin4nceCr3wTradingSun, 18 Sep 2016 15:18:00 GMTMachine Learning & FXI'm a relatively new macro (FX & Rates) trader at a major bank (GS/JPM/BAML) with a quantitative background. I spent some time researching the application of machine learning and other statistical approaches (NN, SVM, Decision Trees, Bayes, HMM, ARIMA, GARCH etc.) to these markets as well as experimenting with my own strategies prior to graduation. Over time, I felt that these markets are simply too complex and noisy for such models to generate any meaningful and consistent profits, especially when slippage is accounted for. But, of course, everything I've done so far has been through my own research and understanding of the topics. Hence, I was hoping for some guidance and mentorship regarding this at work. My team and other traders are supportive of my approach but don't have experience in these ML/AI areas that they could pass on to me.<br><br>Are there any tips/advice you guys could offer in terms of further developing my knowledge/approach in this regard? I've read a lot of the research papers pertaining to these markets that can be found through Google.
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TraderAITradingSun, 18 Sep 2016 11:49:54 GMTStripping down the robo-advisors: sparrow-brains insideThere is pretty much hype about Robo-Advisors so, IMO, a critical review will not hurt. Later I am going to review them individually to identify the most suitable (or the least worse :))<br><br><a target="_new" href="http://www.letyourmoneygrow.com/2016/09/16/stripping-down-the-robo-advisors-sparrow-brains-inside/">http://www.letyourmoneygrow.com/2016/09/16/stripping-down-the-robo-advisors-sparrow-brains-inside/</a>
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finanzmasterGeneralFri, 16 Sep 2016 21:43:39 GMTPCA for yield curve basicsI'm looking to use PCA to inform my yield curve trading. Using daily changes in yield I was able to find 2 or 3 principal components that explain 99% of variance. That matches what I read about PC1 being parallel yield curve moves and PC2 being slope.<br><br>I then broke the data up into 6 one-month periods, hoping to see that the PCs stayed fairly constant over time. Looking only at PC1, I have 5 that are similar and one that is similar but negative. What does that mean?<br><br><img id=EO-IDKey-12838 src="/User Files/1007/download.png">
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HockeyPlayerBasicsThu, 15 Sep 2016 22:30:47 GMTJobs in CHLooking for jobs in CH. PhD in derivatives pricing and two years of experience in research on systematic strategies at a no-name shop. Would like to stay in systematic trading but will consider other areas in quant finance. <br><br>In addition to the local market being small I have a feeling it is also rather opaque so I would be grateful for suggestions.
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aickleyCareersThu, 15 Sep 2016 20:15:47 GMTExponential smoothing and state-space modelsI have always thought of (and have only heard people talking about) exponential smoothing as an ad hoc approach. It is actually not the case.<br><br>Developing on some earlier research <a target="_new" href="http://www.exponentialsmoothing.net/">Hyndman et al.</a> show exponential smoothing can be seen as filtering via so-called innovations state-space models of the form<br><br><img id=EO-Latex-IDKey-12833 src="/User Files/5020/Latex-Equation-12833.gif"><br><br>It is quite straightforward to show that such models reduce to exponential smoothing. Clearly,<br><br><img id=EO-Latex-IDKey-12834 src="/User Files/5020/Latex-Equation-12834.gif"><br><br>so that<br><br><img id=EO-Latex-IDKey-12836 src="/User Files/5020/Latex-Equation-12836.gif"><br><br>Hence the forecast equals<br><br><img id=EO-Latex-IDKey-12837 src="/User Files/5020/Latex-Equation-12837.gif"><br><br>exponentially-weighted past observations plus a constant times initial state.<br><br>The material difference with conventional state-space models is of course that we have essentially the same error both in transition and measurement equations (the immaterial difference is that measurement equations of conventional state-space are usually written in terms of the current state and not the previous one). <br><br>Counter-intuitively, Hyndman and co show that the class of innovations state-space models includes the conventional ones. The proof is rather indirect (they first show that a conventional state-space model can be written as ARIMA model and then show that every ARIMA model can be written as an innovations model) and I did not read it yet.<br><br>P.S. The book is online if one knows where to look.
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aickleyPricing & ModellingThu, 15 Sep 2016 19:40:44 GMTsec ftp xbrl idx file?Does anyone know the ftp.sec.gov location/file that has the list of all historical xbrl filings?<br><br>similar to this <a href="ftp://ftp.sec.gov/edgar/full-index/2016/QTR3/xbrl.zip">this</a>, but instead a list of the xml files.<br><br>haven't been able to find on the website, but i could just be an idiot.
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contango_and_cashSoftwareThu, 15 Sep 2016 18:10:20 GMTCourses Does anyone know any good python, sql, linux courses I can attend. Work will be paying for it.
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OmegaSoftwareThu, 15 Sep 2016 07:55:49 GMTBooks: Insurance Claims ModelingCan anyone please point me in the right direction for some beginner and intermediate sources for modeling insurance claims. I'm more interested in simple things like getting started and loss triangles, and can go back and add more advanced aspects later. Thanks in advance.
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TradenatorBooks & PapersWed, 14 Sep 2016 14:34:15 GMT