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Jefferspin


Total Posts: 9
Joined: Jun 2020
 
Posted: 2020-06-03 09:46
So here's my story: I'm working as a software developer since ~= 20 years and at some point I worked for an options market making hedge fund (not anymore). Since I'm good at math my position was sort of a quant developer although never officially. The options desk was liquidated around 2009 but I've stick around till some 4 years ago when I finally realized I've no future there and left. I'm making more money now and the job is fairly non-stressful, but I still target finance for my getting-rich hit.

I started studying derivatives theory by myself while at the hedge fund, I've a master's degree in control systems theory and found the domain fascinating - also never heard of it prior to working in finance. My interest in technology is intrinsic, meaning I don't need someone to push me to research something I'm captivated by.

So over time, I've accumulated a fair bit of the mathematics of the financial derivatives and have developed my own software for testing / validating ideas. That software has changed and evolved quite a lot, along with my practical experience and theoretical knowledge. One of the first things I developed it for was to figure out why the options desk got from highly profitable trading Kospi and Nikkei in early 2000s to less and less profitable (albeit never throwing a surprise loss like the "superstars" from Bank Of America that were hired to show our desk how one does business some time after the financial crisis and went from +2M to -3M PNL overnight, but that's a story for private ears). So I did analyze the =~ 10,000 trades per month over the course of many years, from my totally independent point of view... and found no mistake as far as my knowledge at the time could tell. Now, more than 10 years later, might be a different story though.

So cutting the story short, I've continued to study and improve both my theory and programming so now I'm close to finishing a custom pricing model which seems very promising. I'm enrolled on a math PhD (albeit procrastinating it's finish by a lot) so when I say the theory is rock-solid, you may see it with your own eyes provided I publish it.

I'm not looking to publish it but to win-win. Ideally if it's profitable deployed as a proprietary trading strategy then fuck the PhD. Obviously that PhD had some costs with I'm not looking to just recover but to return by a factor of x1000. Not all at once of course, a 100x it's enough to put my spaceship mind from ground to orbit, and I'll take it from there.

And if the current research output don't make that much money, another win by publishing an original paper that MAKES SOME MONEY, though not as much as expected. Thinking I'm a lone guy who never had a soul to talk anything REALLY intelligent with in my entire career, it's not so bad. It's entirely possible that a team of guys like me could take my work much further and say transform it from an arbitrage to a market-making endeavour (that's where the real money is).

Worst case of the worst, I'll open-source part of my software. I'll keep the derivatives backtester proprietary and sell it as a SOA but offer for free the GUI client and live trading platform integrated with Interactive Brokers. Afterall I'm primarily a 42-years old software developer, in today's shit interviews market, that wouldn't hurt my job prospectives should I need some. (Not if my current employer grows by a factor of 10x as targeted).


Jefferspin


Total Posts: 9
Joined: Jun 2020
 
Posted: 2020-06-03 10:09
Venting continued.

Although I got admitted the first at the "red brick" university in my Eastern European country and I'm not generally congenitally stupid, I've no pedigree and am far from trying to make up for it by training, competing and winning the gold medal in math olympiads or software interviews be damned, leetcode.

Which from the corporate point of view with 100-1000 gladiators fighting in the arena for the chance to get a job, means I don't exist.

Yet I'm not very but extremely capable, resilient and determined to make it successful. I define success as $10MM, that's my 1000x bet.

There are levels in being rich:

1) Breaking free. $1MM - $10MM.
2) Getting power. $100MM - $1B.
3) I'm gonna reach here.
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