Diary of a Quant
Ninja QuantSharing thoughts and ideas about Quantitative trading
| Platform |  | Pricing | Only free issues | Publishes | Weekly |
|---|---|---|---|---|---|
| Issues | 6 | Founded | 3 years ago | Last Issue | 2 years ago |
| Active | |||||
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A thought on alpha discovery
Imagine millions of alphas as particles in a chaotic environment. Moving up and down, their correlation windows as well as their respective coefficients are ever changing. Sometimes there are patterns sometimes is just noise.
This reminds...
One of the oldest HFT alphas
The best alphas are usually the ones backed up by common sense. If I tell you that a buy order will probably push the price higher and a sell order lower you wouldn't be surprised. And if you are surprised, imagine you own an ice cream cart...
Get your alphas right
People generally confuse raw signals with alphas, and trade raw signals as if they were trading in a discretionary way. Nothing wrong with that, you can make money sure, but it isn’t probably the most efficient way to manage your strategies...
Your backtest is probably wrong
So you have decided you want to become a quant trader. You have been reading a lot of articles, and exchanging some tweets with X (twitter) quant-influencers, think Python is just too slow and only use R for its libraries.
Because you’re a...
Algorithmic trading terrorism
The definition of High-frequency trading varies depending on who you ask. However, all definitions share the following baseline: "HFT refers to the usage of automated strategies that place large quantities of orders very quickly."
Now, wha...
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Sharing thoughts and ideas about quant trading
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