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You, obviously, never wasted any years on any sort of education and are much better off for it :D

I would draw a distinction between a de fact technology firm like Jane Street or Hudson River and an old school prop firm like DRW or Ronin (RIP). I think you can get pay well while being purely a smart technologist in the former, but you definitely have to be comfortable with the market and...

Nothing, including sophisticated mathematics is really "required" to be successful in this business. It helps, however, to have a good grasp on the basics like statistics, simple linear algebra etc. Most of the alpha is relatively simple, it's finding it that's hard. Everything, including...

In real life, of course, numerous mathematicians/physicists and other "exact science" types have been wildly successful in various forms of trading. Plenty of the top prop firms and hedge funds have been founded by ex-academics and plenty of top portfolio managers come from a science background...

Do you think the word “correct” applies to anything in the systematic investment space? I always feel that I am picking the least wrong option, whenever you’re making any choices. Hell, it’s even hard to say that something was a correct choice a posteriori IMHO.

The specs ($50 min tick with a 1k multiplier) it's identical to VIX. Perfectly comfortable for institutional investors and nobody cares about retail much. Most products introduced by the exchanges are dead on arrival, especially if there is good liquidity in something similar or in an OTC...

"Every normal man must be tempted, at times, to spit on his hands, hoist the black flag, and begin slitting throats."

Yup, these days most prop is something systematic/model driven or even outright arbitrage trading. Obviously, there are varying degrees of systematic and an element of gray-box is always present but overall nobody really wants the old school guys that were trying to guess what the 10s are going...

The real problem with the 'Real Proprietary Firms', is that A) you would not be able to get a job there

I was working in London at the time and was long some VOW gamma, almost ATM and mostly by accident (part of a dispersion trade). It was surprising amount of positive PnL for a relatively small position, so it turned some heads. Of course, my boss pretended that he did it on purpose - "And There...

Did you get involved in that trade? It was wicked!

However, CME direct is free AND has better RFQ functionality.

I honestly don't think it's about the party, but rather we need someone who has serious managerial experience and understands that money does not grow on trees. Personally, I'd love for Ray McGuire to run - he's very Bloomberg-like and might be exactly what this city needs. Unfortunately, I...

You can create groups for select people, just like on WhatsApp or Telegram. So nobody but a very small group was in the chat. The real question is why would you talk about anything shady via an application that is being recorded and monitored by your banks compliance.

Muni bonds are showing some signs of stress but there is an expectation of some sort of a bailout or (God forbid) a tax hike. It’s a global consensus that BDB has been the worst mayor this city has ever seen and most of this financial trouble can be directly attributed to his lack of management...

If you look at the OTC markets like credit or CBs, there is little alternative to Bloomberg. It’s also rather handy if you need to look stuff up or do a quick study. However, at 25 grand a year, it’s not cheap.

FWIW, there are good databases like Eventvestor that give you PIT event dates including earnings calls, FDA announcements etc. Just like there are fairly reasonable databases with PIT earnings estimates and the actual releases. The only small problem is the cost. Do you do anything special for...

I have some juicy details about this (exact trades that lost money, counterparties etc), but would rather not put them out in the open. Feel free to PM me if you really wanna know.

Yeah, mostly my comment was that it’s easier to shift to a more information rich model than to improve something like GARCH. FWIW, I actually do a lot of “perfect forecaster” experiments where you take some non-price variable, assume that you can perfectly predict it at some horizon and trade...

Why not use a higher frequency forecasting method like HAR? Most people I know that have tried it found it to be an improvement over GARCH