The New Math: Quantitative hedge funds are pressing into new realms of science

[jack hershey]

Quote from romanus:

Andrew Lo sold his AlphaSimplex Group. If the MIT prodigy who taught countless quants is running, I’d say the quant boom is over.

That was funny. The behavioral hypothesis does say call the tops and get out. Another chicken coup.
Tthe NY
Central Bank almost couldn't hire anyone on the 29 bill collateral calls that are going to have to be made. I like the built in fudging for "buying time" to sell the collateral to get the loan back. Roll over anyone??

Any volcanos going to go off soon...earth quakes or foreign objects or satellites we can't shoot down? Sovereign wealth striking from a diffent time zone?? I am seeing branch offices of IB's and there are no quants in them.

 

[trackstar]

I worked for a quant fund last year. They were killed, and I quit after I saw it was going no where. They had phenomenal performance in previous years, but it seemed like everyone did. LOL.

I think currently the firm has stopped trading completely and is trying new methods/just researching. 80% of their capital is locked in for another 5 years. I wonder if they are doing anything other than the carry trade for now. Dead in the water when that dries up.

 

[WaveStrider]

“I think there is a law tying everything together,” says Fludzinski

Wow - string theory in the markets.

Maybe he is looking for someone to bankroll him until he finds it.

 

[romanus]

Quote from trackstar:

I worked for a quant fund last year. They were killed, and I quit after I saw it was going no where. They had phenomenal performance in previous years, but it seemed like everyone did. LOL.

I think currently the firm has stopped trading completely and is trying new methods/just researching. 80% of their capital is locked in for another 5 years. I wonder if they are doing anything other than the carry trade for now. Dead in the water when that dries up.

Mean reversion didn’t just stop working, it actually reversed.

 

[rjv27]

Quote from makloda:

Marek Fludzinski - The founder and CEO of New York–based Thales Fund Management

I interviewed with them when they first split off of Paloma for a jr. trader positions. It was down to 2 of us and they didn't pick me But I did interview with Marek he was saying shit that I was like WTF. Telling me at the time that there system had over a 1MM lines of code. I'm sure they will be fine....

 

[Thunderdog]

Quote from rjv27:

...system had over a 1MM lines of code...

At the million line mark, you can't help but notice that code and implode rhyme.

 

[romanus]

Quote from rjv27:

I'm sure they will be fine....

"Our alternative variable overlay approach takes the 130/30 investment strategy one step further, allowing us to better adapt to constantly changing stock market conditions," said
Marek Fludzinski, Thales founder and portfolio manager for the Leros Fund.

Exposing 160% of your assets to the market with 130% long plus 30% short hoping to outperform the benchmark by a couple of hundred basis points -- DOES ANYBODY HERE THINKS THIS IS A GOOD IDEA.

Of course it's just my opinion, I could be wrong.

 

[TraderZones]

Quote from rufus_4000:


In all honesty, from a pure scientific point of view, I enjoy losses much more than gains. Losses usually exposes certain weakness in the overall model, necessitating either adjustment of models, or additions to the models that would attempt to make the model more complete. Making money, while financially interesting, really makes one lethargic (yes, kinda of "boring"), and less inclined to make fundamental changes to the underlying model.

So as a researcher, the recent period are really very exciting, it gives one new data and new phenomenons that need to be modeled.

You sound like you are building a Rube Goldberg machine...

 

[TraderZones]

Quote from stock_trad3r:

all these whiz kids could have made much more more money for virtually no work just going long in MOS, BIDU, MA, on double margin last year...

Leave it to stock_trad3r to suggest just doing what worked in hindsight...

 

[MAESTRO]

Quote from WaveStrider:

“I think there is a law tying everything together,” says Fludzinski

Wow - string theory in the markets.

Maybe he is looking for someone to bankroll him until he finds it.

And that law is the Law of Stable Distributions – the only law that is practical enough to extract dollars from markets! All the other “laws” are simple derivatives of this universal law! The sooner one understands it the sooner he/she will become successful in the markets.