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kuebiko


Total Posts: 24
Joined: May 2018
 
Posted: 2018-08-20 21:39
@anonq yeah I run lower frequency futures strats (~week up to months turnover). I’m interested in trading faster but my current firm doesn’t have the interest (they want scale) or really the expertise/infrastructure to do it competitively at the moment. The dimension is so much richer at shorter timescales, but I’m limited by the lack of a good market impact model due to execution people being siloed (or vice versa).

I’m definitely aware of and interested in the multi-period optimization stuff, have read the papers and played around a bit. As you say it’s far from trivial. Just curious if there were any other good ways to think about it.

Thx!

Jurassic


Total Posts: 133
Joined: Mar 2018
 
Posted: 2018-08-20 22:33
Why are the dimensions richer at shorter timescales?

kuebiko


Total Posts: 24
Joined: May 2018
 
Posted: 2018-08-20 22:39
I guess I’m being a bit loose with “dimension,” but at the longer extremes it seems everything is explained by a few principal components/risk factors. You haven’t got much data, and it’s very hard to get away from things that look like momentum or carry. Of course, it’s not impossible and I think there’s still some interesting stuff that can be done, but there are many more uncorrelated, robust, and predictable effects, both directional and cross-sectional, when you go intraday.

Jurassic


Total Posts: 133
Joined: Mar 2018
 
Posted: 2018-08-20 22:41
What do you classify as not much data? you could get daily equity prices for 15 years +. Its only things like interest rates where its once a month

Zoho


Total Posts: 19
Joined: Feb 2018
 
Posted: 2018-08-20 22:47
@anonq
>Used to know people over a decade ago running multi billion gmv rank based portfolios on a handful of signals off IBES but that doesn’t work at all anymore, whereas the short term stuff from back then still holding its own

It is also said that lower volatility levels during the last several years preclude long-short books from earning. Low frequency ranks based on fundamentals partly confirm this but it looks like short-term based ranks still hold their edge. I would explain this happens due to the fact that it is not that obvious to produce short term stuff that works and this helps for their alpha to keep on working despite low volatility environment... What do you think?

What would you think about this topic

Pca-based portfolio properties

kuebiko


Total Posts: 24
Joined: May 2018
 
Posted: 2018-08-20 22:47
So again, I’m talking about futures, where I’d consider daily prices for 15+ years to be “not much data.” Especially since at any given point in time you’re not going to want to fit a model with a fifteen-year lookback.

Agreed that the situation is better in cash equities where you have many more instruments and a much richer covariance structure that you really don’t have if your trade-able universe is, say, the 100 most liquid global futures contracts.

ronin


Total Posts: 326
Joined: May 2006
 
Posted: 2018-08-21 10:34

> I think the RKS stuff/paper is all a joke...

You'd be surprised at how much truth there is in some jokes.


"There is a SIX am?" -- Arthur

RubyYao


Total Posts: 35
Joined: Aug 2018
 
Posted: 2018-08-21 12:40
nice communication here Chew

quantitative platform: www.fmz.com professional team of programmers with more than 20 years of programming experience, build all the underlying mechanisms, backtesting system (accurate to the second level of data), every major exchange interface, runway and order delivery optimization.

anonq


Total Posts: 12
Joined: Aug 2018
 
Posted: 2018-08-21 14:10
@kuebiko yeah definitely not trivial, the fusion api with mosek def helps though

@zoho I know of some groups doing great in the low frequency space past few years through present but they’re doing more than just ranking analyst revisions

Been a decade since I tried anything with PCA but didn’t have any success. If I were to use it now would be for some feature extraction and would take a look PLS

Zoho


Total Posts: 19
Joined: Feb 2018
 
Posted: 2018-08-22 11:29
@anonq
can I reach you by email? mine is in profile

RubyYao


Total Posts: 35
Joined: Aug 2018
 
Posted: 2018-08-23 06:10
it’s better to be out of a trade and wishing you were in, than to be in a trade and wishing you were out. So please be gentle to my FMZ quant.Chew

quantitative platform: www.fmz.com professional team of programmers with more than 20 years of programming experience, build all the underlying mechanisms, backtesting system (accurate to the second level of data), every major exchange interface, runway and order delivery optimization.

RubyYao


Total Posts: 35
Joined: Aug 2018
 
Posted: 2018-08-29 05:03
In the international war, there is a word called "the fog of war." The general could not see the entire map and could only see the scene in front of him. He must make decisions based on incomplete information. This is how cryptocurrencies are traded. FMZ quant platform can help you run your strategy in an organized way even in fog.ChewChew

quantitative platform: www.fmz.com professional team of programmers with more than 20 years of programming experience, build all the underlying mechanisms, backtesting system (accurate to the second level of data), every major exchange interface, runway and order delivery optimization.

RubyYao


Total Posts: 35
Joined: Aug 2018
 
Posted: 2018-09-11 04:40
PartyParty is there anyone wanna share trading strategy with me?

quantitative platform: www.fmz.com professional team of programmers with more than 20 years of programming experience, build all the underlying mechanisms, backtesting system (accurate to the second level of data), every major exchange interface, runway and order delivery optimization.

ustructure


Total Posts: 1
Joined: Nov 2016
 
Posted: 2018-09-14 02:27
Can anyone give any more info to find the SYA or Yuri papers mentioned here? I’ve been trying to find to no avail.
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