Quant Curious

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Xuanxue

"We live in a society exquisitely dependent on science and technology, in which hardly anyone knows anything about science and technology."

Carl Sagan

I'm content in my non-professional trading capacity, but I've been stricken by the fundamental love bug. Three very concrete constants that limit me, however, are: 1) I'll never set foot in an university, not even to utilize the lavatory; 2) I know not which course of finance-specific mathematical self-study to persue to understand and formulate risk-neutral and statistical, probabilistic pricing and evaluation models; 2a) My exposure to formulaic math is minimal. We're talking probably retaking algebra 1 is essential, & I stopped there in school, admittedly.

Help plot a course of study for me wont you?
 
You don't need to have a degree, tho plan to take just as long or longer to be successful.

I suggest starting with the best market teacher that I know of. http://youtube.com/user/SnP500Trader
Subscribe and watch his videos - go back and watch them all! Ask him questions and he will answer.

He is a pro who helps beginners and experienced alike.

Consider this your first step.

Best to you!

Steve
 
Quote from caementarius:

What's the problem with university classes? Are you in the US?
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I'd rather compile a list of university textbooks and inquire google when or if I find my back to the wall than amass mounds of debt being forced to study subjects I care not a jot about and be around products of a failed liberal education experiment. What consitutes as "well-rounded" these days I'll be honest churns my stomach.

Yes, I'm a Yank.

If you want free materials, How about MIT OpenCourseware?

http://ocw.mit.edu/OcwWeb/web/courses/courses/index.htm#Mathematics

18.05 Introduction to Probability and Statistics
18.098 / 6.099 Street-Fighting Mathematics
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Excellent. Thank you. One quick question though: Since statistics requires at least a modicum of exposure to calculus, which I haven't been, what's the bare-bones minimum course of study to grasp calculus? The whole gammut? I'd rather skip geometry and hit algebra 1&2, time series analysis and trig if I can help it. But would you recommend doing so?
 
Quote from NoProblem:

You don't need to have a degree, tho plan to take just as long or longer to be successful.

I suggest starting with the best market teacher that I know of. http://youtube.com/user/SnP500Trader
Subscribe and watch his videos - go back and watch them all! Ask him questions and he will answer.

He is a pro who helps beginners and experienced alike.

Consider this your first step.

Best to you!

Steve
More...

I trade for a living, and do well. I want to invest now. Rather, I want to learn how to invest now and do so when or if there's a reason to. lol

Many thanks for your consideration, though. I'll listen in on the channel maybe.
 
Quote from Xuanxue:

Since statistics requires at least a modicum of exposure to calculus, which I haven't been, what's the bare-bones minimum course of study to grasp calculus? The whole gammut? I'd rather skip geometry and hit algebra 1&2, time series analysis and trig if I can help it. But would you recommend doing so?
More...

I'm not a math guru but I've taken a couple of semesters of calc. There is a teeny bit of theory in early calc but most of it is just a bag of tricks that teach you how to take derivatives and integrals of various functions. I think you can get a pretty good understanding of stats without calc. In fact, many math departments don't even teach any stats to math majors.

You can understand what a linear regression is and what the values mean if you run one in excel (what the R-squared value means, the X coefficient, etc). You can understand what a probability distribution is. A rough idea relating these things to trading:
- A stock has a Beta, which is generally how the stock moves with the overall market. For example, A stock with a Beta of 0.5 would generally go up half of what the overall market does, this is the X coefficient of a regression run with the market (S&P500?) as independent variable and the stock as dependent variable
- Beta can also refer to how one stock is related with another stock, which is used to make a cross-hedge Beta
- If you know how a stock's prices are distributed, you can generate a bunch of random numbers that mimic that distribution and <gasp> you've made a Monte-Carlo Simulation. This sounds really impressive but is fairly simple..

You can apply stuff like that to pairs trading etc.

Or let's say you want to buy/sell a stock but you want to cancel out how the overall market moves influence your position. You can calculate the cross-hedge Beta of a stock with it's sector ETF or a broader market ETF. This gives you the proportion of how much of the ETF to buy/sell given how much of the stock you buy/sell.

The hedges aren't perfect, but hopefully the R-squared value or other diagnostics give you an idea of how good the linear regression fits.
 
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