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Will be hilarious when the bid/ask opens up to $5.00 on everything but GOOG and SPY because market makers quit the business.

I don't think anyone is going to say "Yes Mr. Gates, we'll sell those 1m shares a day and there will be no impact." I think the conversation probably went "Mr. Gates, the best thing to do would be for us to unwind those positions over a longer course of time. If you really want them gone in a...

Those funds all use algo execution systems, relying on some very complicated math to figure out the best way to acquire and release positions. Regarding the the purchasing of 6m shares (or some other high amount) in a single day, it's not like there's some guy with a mouse and keyboard...

that place is nuts. flipping between it and ft.com is culture shock.

ft.com (it's worth the ~$50USD/month) quant.stackexchange.com news.google.com On the weekends I read a lot of FT. I usually try to read one finance, business, or quant book a week. Foreign Affairs is a great weekend publication. I watch PBS News Hour in the evenings after dinner, mainly if...

you mean out of sample or no-money-live trading? Eventually the jump has to be made and things you can only poorly estimate (like market impact) will be realized. A back tested system that functions well with real data and that has best approximated real trading land (slippage, etc) is a good...

My "system" at this point is so fast that no one (you or me included) would be able to execute upon it. I can't talk specifics but I don't think I've ever algo-held a position longer than it would take to spread some butter over a slice of toast, and we're talking about thousands of securities...

The models (that make up an algo) are so different that it's hard to say what variables you use for what. But I would agree with you that anyone who thinks they have a risk-free trading system should be stripped of anyone else's money but their own. I'm of the mind that risk is the stuff you...

For sure, I don't think mm or any other HFT strategy is without risk by any means, but it's the way you handle the risk that's so different. I do research, back test, run in a paper-trading mode against live data, watch for curve fitting, etc. You're just employing a vastly different set of...

I crossed the Rubicon in trading when I took a long position in HAL.

Most quant are either math or software guys. You don't see a lot of Java guys rattling off math proofs and math guys don't generally know beans about compilers and normalization.

The biggest reason I went into quant-hft-algo land is because I hate the sweaty palms and blood pressure of manual trading. Software makes trades with ruthless cold blooded precision that I never could myself. It has no hope, no fear, no greed. Just math.

"Social responsible" could accurately be argued as "the only long term successful model". I don't do it at a trading level, but I do try to vote with my wallet in general life. If people want to buy fair trade coffee it makes sense they wouldn't want to invest in XOM. There's more to life...

Figured it out. Thinkorswim has an export on their screener. Glad I have a tda account hanging around.

I really agree with that. In PE you can have a career in business and finance that can span verticals, industries, and regions. It's not to say that fund management isn't diverse in its own right, and honestly it's one I enjoy more, but PE takes the cake for overall life options. I also wonder...

I'm at a bit of a loss here. From the person interviewed: How did margin calls become interventionism? If I ever max out my credit card I'm going to call up the issuer and berate them on the phone for being interventionists.

I've stumbled across a bunch of different screeners (with no luck) and could write something myself but I'm hoping there is a simple solution. I want to grab US equities by volume (daily, "average", whatever) and save them as csv/excel. Any ideas?

Who's using that level of data though in a strategy (talking code running constantly in an alpha/risk/trx cost/execution/pc model). I can't imagine any possible theoretical or evidentially based strategy that needs tick data beyond a few days to run, maybe a few weeks at most. I'm talking...

One important thing to consider about RDMS is that they allow you to organize things much better. Regarding ten years of tick data across every instrument on every exchange, very rarely will you need that level of detail. But on the other hand, if you develop a strategy six months from now you...

I was out in town yesterday, driving my $8K paid-in-cash used car to the store. Next to me was a guy in a brand new F150, and to the right was a large SUV. I'm making snap judgments, but I'd gather that I make more than both of them combined.