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Okay, so I was curious about this, went to their website and this is what I see: That's hilarious. I've been an options market maker and now a volarb PM since 1996. I still don't know "everything there is to know about options".

Exactly. It does not have to be options, there are a lot of strategies on linear instruments that are asymmetric by nature. Let's say you're an HFT trader and are making markets in a stock X. You don't really try to do anything sophisticated, simply buy for the bid and right away try sell at the...

Wait, what? You worked for him and he CHARGED you money? Am I missing something? I assume I made that list of sharks? :) On a serious note, anyone on the institutional side of the business eventually has to become a "mentor". After a certain point, you need to hire people and train them...

Well, it's obvious the AUM are not very big and the returns can't be very good if he is running an "option education business".

Maybe someone should do some logical analysis of whatever conclusions this movie comes up with. Let's see. SAC was running tens of billions at the time, big portion of it Steve's own money. It's a multi-manager multi-strategy setup. Most of the AUM had nothing to do with stock trading at all...

A good R^2 does not mean a good strategy, obviously, but this would be a good start. At the very least, I'd run it with IRL execution assumptions and see how it fares.

Me? I am just a dude that got a lucky break once and managed to ride it until now. On the topic, somehow I mainly remember the crisis of 1998 very vividly. Fun times that was, especially if you traded fixed income.

So I've had the misfortune of working Asian hours for the last year and a half (markets open at 7 and close at 2-3am). Finally, after a bunch of dry-fires, I have picked up a junior monkey who is going to take over the night shift (*). The only problem is that I seem to have a problem...

Well, most sources of alpha are very straight forward, it's the implementation and combination of them that makes the whole thing complex. What really differentiates RenTech from many other shops is how they combine different alphas. Indeed. It's 150 bucks of delta, relatively pedestrian size...

I wonder how many of them retained their edge through the years and what fraction of people is successful in day-trading manually today.

I agree with @spindr0. Anyone, just by showing up in the options section of ET, reading and asking some questions can access the same knowledge base as they provide for 6.5k. I am sure that between myself, Rob Morse and a few other people there isn’t a topic that we can’t cover in depth.

Without getting into a shouting match, I am curious. 1. How do you mentally reconcile the idea of “money used for transactions” with the illiquid nature of M3 (given the definition and inputs)? 2. What do you do for countries with unavailable m3 data series? With regards to the government data...

The issue with random forests is the discrete (piece-wise linear) nature of the splits. That's a problem with almost all "classifier" methods, you end up with discrete populations which is not necessarily optimal in finance. Looks like a pretty good book, especially if one is just getting...

You are conflating the accuracy of the median prediction with the mean prediction that takes into account the whole distribution. As an extreme example, a median expectation of a late night stroll through Mogadishu is "nothing happened", but would you be willing to take that walk without knowing...

Hmm? I don't think understanding the nature of random processes per-se is as valuable as understanding the limitations of your data and the various biases that you introduce in the backtesting process. Once that is internalized, next step is to understand how various ways you tweak the strategy...

How exactly do you envision that happened? Obama told his economic advisors, the advisors told everyone at the BLS/BEA? Don't you think it would leak to the press? With millions of educated people, who have access to raw data via Freedom of Information Act, don't you think someone would show...

I have never seen equities go anywhere but up. Only some delusional old people remember those silly things called "the bear markets".

Just as a few general thoughts: -- You probably want to re-test your results on a return stream that's market neutral and adjusted for dividends -- I am usually very skeptical of ML applications to trading strategies in terms of generating alpha factors because of the overfitting concerns...

FX is probably the most complex market out there. At the microstructure level, it has fragmented execution venues that are not regulated and have really obscure order book dynamics. Add a thriving derivatives market to it and you have a really interesting world of short term effects, albeit...

I am sorry, I don’t follow... where do you see implied under realized?