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I hope you mean two years of daily hard work, not two weeks... Reddit has everything, doesn't it? :D

I find that I do surprising amount of mental math, but usually when I am off the desk. For example, I went for a solo hike w my dog right before the lockdown and I recall sitting in the tent in Adirondacks doing a bunch of simple math about the impact of buybacks.

STEM degree? It's hard to convince people that you are smart unless you either went to a top school or have a STEM degree. Not really. The main reason to ask brain teasers or basic math is to check if the person has brains and can think under pressure. Risk/exposures/sizing are/should-be all...

I don’t see a point of it. It’s a special purpose language which is very immature and has no industry backers. If anything, I’d be more inclined to try one of the new wave of static typed complied languages like Rust.

Yeah, I considered it for a little while and decided against it.

A while ago, I was at a charity dinner with a race car driver. He said something along the lines of "you have the general idea of the racing line, but you keep making small adjustments to it on every lap". Same applies to thus business - you want to establish a process-driven mindset right away...

Yes. As I said, SOQ is a separate story with its own quirks. I am not @newwurldmn but I am pretty sure what he meant - intraday NAV/ETF arbitrage for SPYs or other ETFs based on S&P500 and EFP arbitrage for the futures.

Why not Yeo-Johnson (hope I am spelling it right)?

Yeah, a lot of useful stuff is pre-built in. FWIW, we are experimenting with Rust for stuff that has to work fast, but have not fully committed yet.

I used to love R (probably still do), but python became a de facto standard in professional finance. I use a combination of numpy and pandas for my stuff. People who are better developers seem to favor pure numpy-based solutions, but that's more work and I am very lazy.

Here is a quick example. Taking returns of SP500 since 1990 and rescaling by VIX (which is a superior predictor of realized volatility) produces the following Q-Q plot: here's python code for those who cares: import pandas as pd import numpy as np import matplotlib.pyplot as plt from...

Hmm, I have to disagree with you there. I think you are conflating the non-normal nature of the distribution with stochastic/uncertain volatility. You can rescale the returns by the expected volatility (e.g. I rescale returns by the ATM implied vol for some studies) and that does create a...

I direct and produce BDSM videos. You see and hear a lot of things in the process.

Thank you! Also, it's nice to have a civilized discussion!

Have you ever done it? Cause it's not as trivial as you make it sound :D Indeed, the guys who did pure latency arb have consolidated a lot, but that process feels done to me. Lack of volatility a few years prior to 2018 has made it worse for sure. These days, howver, I don't see as many CVs...

Even that is not exactly true, though. For example, guys who do spy/spooz arb do a far bit of forecasting based on the state of the book etc. I mean, on the surface it's pure latency trade, you put a box in Mahwah and box in Aurora, rent a microwave line et voilà. But then you'd dig deeper and...

So first of all, it's not pure market cap weighted, but rather free float market cap weighted. The ticking index that you see is calculated based on the last full-lot trade for each stock. The settlement price for the futures or options has a special methodology to it that I am not going to get...

I think you underestimate how complex the HFT ecosystem is (or maybe by HFT we mean different things and you only mean the UHF players). On the short-term end of the spectrum there are guys doing pure latency games who are mostly liquidity providers. On the longer end of the latency spectrum...

This. But than again, I am not the intended audience for any of your ideas, so feel free to ignore me :D

I don't see how they can prevent on-chain entities from issuing stablecoins, especially inflow/outflow based ones like DAI.