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gentinex


Total Posts: 82
Joined: May 2006
 
Posted: 2015-03-18 05:22
http://quant.stackexchange.com/questions/15078/where-can-i-find-literature-books-articles-etc-about-basic-hft-arbitrage

FDAXHunter
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Posted: 2015-03-18 07:29
Very funny Smiley

The Figs Protocol.

silverside


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Posted: 2015-03-18 07:54
Like

Nonius
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Posted: 2015-03-18 09:12
LOL!

Chiral is Tyler Durden

pj


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Posted: 2015-03-18 09:58
No Irene Aldridge? Scared

OFFENDERS WILL BE TERMINATED

Cheng


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Posted: 2015-03-18 11:58
Big Smile

"Sad wings of destiny / Where have they gone? / I know eternally / I'll carry on" (Rob Halford, Sad Wings)

jslade


Total Posts: 1057
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Posted: 2015-03-20 19:05
Wut, no category theory?

"Learning, n. The kind of ignorance distinguishing the studious."

il_vitorio


Total Posts: 103
Joined: Aug 2014
 
Posted: 2015-03-21 03:31
That's nice.

I have a question (just wandering something about the magician) how this could be in the server of the University?

Any thoughts?

EDIT: I really double check and I do not believe that this is true.

One of my most productive days was throwing away 1000 lines of code.

radikal


Total Posts: 252
Joined: Dec 2012
 
Posted: 2015-03-21 04:16
Haha, excellence. If only I used my stackexchange account, I'd be able to vote it up.

There are no surprising facts, only models that are surprised by facts

gentinex


Total Posts: 82
Joined: May 2006
 
Posted: 2015-03-31 18:45
I also could not believe the university course web page..but on the other hand, I do think it is real, b/c I additionally found people mentioning being TAs for the course on their LinkedIn pages.

Nonius
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Posted: 2015-04-04 20:03
@jslade, curiuosly, there are a few papers out there on applications of Category Theory to finance (but not high frequency trading of course), but they do look like bullshit.

example:

category and risk measure theory


Chiral is Tyler Durden

Rashomon


Total Posts: 165
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Posted: 2015-04-06 01:12
My 2p: CT doesn’t necessarily benefit me in terms of providing better answers, but rather better questions and sometimes helps to organize my thinking.

Nonius, I can't tell what that paper is trying to say. It restates a lot of definitions and then – what? They set up a large system to draw the same neoclassical economist's conclusion.

"My hands are small, I know, but they're not yours, they are my own. And they're, not yours, they are my own." ~ Jewel

Nonius
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Posted: 2015-04-06 01:35
this is true Rashomon.

the other paper I found linking Category Theory to finance was the same. Both are just sort of weak treatises on Category Theory with vague references to finance.

If one could prove with a few arrow pushing arguments + a functor that "no arbitrage" follows trivially from some simple theorem in some elementary mathematical theory then maybe that would be amusing.

Chiral is Tyler Durden

Rashomon


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Posted: 2015-04-06 01:52
I don't expect a useful theorem like what you describe, especially not a very general one from homological algebra or whatever. I think the Johnson-Lindenstrauss bound comes from Grothendieck somehow, which makes sense since it's broad rather than tight. Think about compressive sensing also, the theory lags behind practice and they can only prove a convergence bound that's 1/4 as good as what's known empirically to work.

Here's more how I would see the benefit. Take the case of arbitrage since you brought it up. Before manifolds/sheaves I had less good of ways to organize local + global information. But now I can think of "regions": geographies or products or trading partners. (Actually I can organize all of these with systems of maps learned from CT.) Put a no-arbitrage condition as much as makes sense in each of the small regions.

I no longer feel bound to say that IHRT (thinly traded) is efficient. I get to say that AAPL trades differently—it obviously does since it has its own VIX and a thick option chain—, and I don't feel cheap dirty or hand-wavy about any of this because I have a coherent way of organizing system A with its rules, connected to system B with its rules.

Am I going to calculate something with sheaf cohomology to make cross-market predictions? Absolutely not. But I feel better and I won't take often true with economics meeting higher maths in general. The approach seems to be "Parrot mathematical definitions and think economic thoughts".

"My hands are small, I know, but they're not yours, they are my own. And they're, not yours, they are my own." ~ Jewel

Nonius
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Posted: 2015-04-20 16:02
yes I see your point. If in 50 years after Jim Simons' progeny is worth a material fraction of the aggregate wealth on the planet, even his great grandchildren, who might even partake in extremely arcane category theory for a living, will be a bit of a mind to shrug their shoulders if some guy proves that Stat Arb exists because of some homological constraint in some topos for which there exists a functor into the category of behavioural finance.

Chiral is Tyler Durden

chiral3
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Posted: 2015-04-20 16:43
One could argue highly successful traders with long track records utilize yogas regularly; although this is rather platitudinous and simply a byproduct of some deeper pattern recognition that arises anytime one spends considerable amounts on time within a system. Chicken sexing is also likely related to what a yoga fundamentally is but I wouldn't categorify poultry cloaca.

I've heard Grothendieck Circle is posthumously back in business. I have a morbid fascination with the metadata summarizing his musings for the past 30 years. Maybe some tradable ideas in there :-\

Nonius is Satoshi Nakamoto. 物の哀れ

Nonius
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Posted: 2015-04-20 23:41
Sheah dude, I didn't even know what Grothendiek Circle was till now, but I understand now.

Top 5 list of Melty Mathematicians:
1. Grothendiek.
2. Thom
3. Connes
4. Gromov
5. Fuck too many in the phrog school,
Spoo. Me.

Chiral is Tyler Durden

Nonius
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Posted: 2015-04-20 23:44
Oh, thurston too.

Chiral is Tyler Durden

Nonius
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Posted: 2015-04-26 13:48
Skimming through Grinold and Kahn. Actually, I think some of the arguments in CAPm do sort of boil down to some Category Theory.

Chiral is Tyler Durden

Rashomon


Total Posts: 165
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Posted: 2015-05-01 06:22
> CAPM

How so? I think of all that efficient-frontier Lagrangian stuff as very similar: argue that you're on codimension-one convex hull because efficiency, stand at the origin and aim your bow wherever the frick you like, and it tethers automatically to the hull. Of course irl everything is strictly below the efficient frontier but who cares? This is econ.

A CT-ish thought I had the other day about this. Think about rank-reducing homomorphisms (like linear regression being the most obvious). "Econ reasoning" like the above happens on the image of this transform, and then economists focus exclusively on the codomain, forgetting the domain i.e. what actually happens. (Pace sfca and other non-f*ckwit economists. You know the people I'm targeting.) We live in a world where everybody knows what markets and arbitrage are, but only professionals understand actual contract details.


chiral3: True but this seems like a no-true-Scotsman statement. Traders have sh*tty metatheories as well, and sometimes these work.



Nonius, I sent you a PM. Is that a real email address or just a jokester one?

"My hands are small, I know, but they're not yours, they are my own. And they're, not yours, they are my own." ~ Jewel

Nonius
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Posted: 2015-05-01 07:19
I'll check my mail!

Chiral is Tyler Durden

maddie


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Posted: 2017-02-14 06:28
;) I wrote that post. Shameless plug: If you liked my post and have >=150 reputation, now is the time to show your support and vote me (madilyn) in as a moderator for QFin here: http://quant.stackexchange.com/election?cb=1

Also, make olaker as your 2nd choice because he's the only qualified guy running. Here's my nomination speech:

This site is lost. It's a disaster. We're losing users so badly. When universities send their people, they're not sending their best. They're bringing off-topic questions. They're bringing questions on career advice. They're college kids. And some, I assume, are grad students. I will build the greatest firewall - and nobody builds firewalls better than me, believe me. I will build a great, great firewall on our network border. I will build a firewall and I will make universities pay for that firewall. I will get my people to look into voter fraud. At least 30,000 of the downvotes I received were illegal. I have the highest reputation if you deduct the thousands of people who downvoted illegally. Now, look at SRKX's face! Would anyone vote for that? Can you imagine that, the face of our next moderator? But lehalle - if lehalle wasn't my father, perhaps I'd be dating him. Together, we will make Quant Stack Exchange great again.

Thanks guys! <3

-madilyn

chiral3
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Posted: 2017-02-14 13:19
Cute maddie. Sign of the times (everywhere).

I realize your post is two years old, Nonius, but I only just found out the other day that Thurston was dead. He had that student, Jeff Weeks, who wrote The Shape of Space. I am waiting for my kids to be old enough to read that.

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