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Ask Siraj :) (I am not [completely] agree with his affirmation but find his rap very amusing :))

One can still name Matlab (or whatever) in comment :)

Because Ok, short after I created this topic , I really thought I had to include Matlab but I if you modify a poll, it is only possible to append (not arbitrarily insert) an option. This would make the checkbox list looking ugly :)

Participants are highly encouraged not just to select among possible responses but also write some comments :)

And the 2nd part: Pitfalls of Nelson-Siegel Yield Curve Modeling – Part II - what ML and AI can[not] do

This not, but of course I could have previously mentioned that the NS has these problems.

The Nelson-Siegel-[Svensson] Model is a common approach to fit a yield curve. Its popularity might be explained with economic interpretability of its parameters but most likely it is because the European Central Bank uses it. However, what may do for ECB will not necessarily work in all cases...

What is the most fair reward system for a wealth manager? In theory it is hardly possible to answer this question without oversimplifications. But in [best] practice? Feedback is very welcome! The Fairest Reward System for a Wealth Manager — letYourMoneyGrow.com - Serving Retail Investors

The Open Source Risk Engine is an opensource software project for risk analytics and xVA. It is written (mostly) in C++ and based on QuantLib. In this post we explain how the ORE can be built from source in Visual Studio 2017. Building Open Source Risk Engine (Quaternion ORE) in VS2017 without Git

Yes, but it is also non-trivial to setup a "C++Python" project. Anyway, I would prefer (if possible) to stay with PyCharm for Python-side. To my knowledge there is none (I mean no open-source project, which is more or less complete or is being actively developed). SWIG is indeed old but it...

QuantLib Python - debugging C++ side with Visual Studio and PyCharm - a dirty way

I always considered FX for a tough market: I mean in Stocks and Bonds one has [besides TA] company fundamentals, but FX... well, some macroeconomics, which is hard to integrate into a trading system. That's why it is interesting to see that some traders consitently do make money in Forex: 12...

No, I dropped writing it since (as you can see in this poll), there was little (pay-willing) interest. As to Luigi's book, it is good but it is not for novices. I always told to Luigi that the main problem is that he assumes that every user of QuantLib is as brilliant as he, himself :) @Quasar...

Best in which sense? Yes. Although it is inconsistent: HW is arbitrage free, NS is not. But who cares? :) Or who cared about theoretical inconsistencies by a usage of Black'76 for pricing options on bonds (until the LIBOR model appeared)? Moreover, in pricing and trading it is quite essential...

No. Moreover, Damir Filipovic did a fine research, in which he has shown a kind of inconsistency of NS with HJM Framework. Because in Europe Nelson-Siegel-Svensson is de-factor a standard model, in particular Deutsche Bundesbank, German Finance Agency (and likely the ECB) use it. The reason...

And now fitting a yield curve with QuantLib Python QuantLib Python - Twisting a Snake to fit a Yieldcurve

And now some fundamental insights A Quick but Insightful Look at Stock Fundamental Data Summary

It is a good question, I tried to get an exhaustive answer from AV support... What they told me that the re-distribution of raw data is not allowed. Otherwise I think one can do whatever s/he wants but to be on the safe side I would write to AV. Describe shortly what you are going to do and...

How to get and visualize the stock data from Alpha Vantage. Visualizing the Data on 6356 American Stocks - with R source code And what one may need them for. Does Stock Picking Still Make Sense? Yes, it does!

In theory: financial engineering (Q-World) is based on a well-established advanced math (measure theory, PDEs), whereas for the data science(P-World) it is enough to have basic undergraduate knowledge (calculus, regression analysis). In practice: you will (mostly) do a routine job in both...

Hi guys, I Germany there are very few quants that try to actively manage (or even passively invest) their own money. But this may be a German bias, for whatever reason the Aktienkultur (Investment Culture) is underdeveloped in Germany. And what about you?

Yes, this is the inertness of job markets, which I also experienced (I also got started as a QuantDev). Don't hope too much for headhunter, first of all many of them are unable to distinguish between different types of quants (just like they hold Java and JavaScript for the same). Secondly, they...

I think any "good" scripting language with ability to create and read from Excel sheets is a better alternative to VBA-macros and Excel-AddIns. As I have already said, I gotta try it with QuantLib-Python. Before I was reluctant to learn Python, in spite of all hype I found it "yet another...

Feature list is available here ("list" is to understand literally: just an enumeration with very little guidance) QuantLibXL: Functions Seems to be, it actively uses /* ** XLOPER structure ** ** Excel's fundamental data type: can hold data ** of any type. Use "R" as the argument type in the **...

A case study with QuantLibXL (an Excel QuantLib plug-in) I would say, QuantLibXL makes the life harder, not easier. Any other opinions? QuantLibXL - A Curvy Way to fit a Yield Curve

2nd Part: 2940 Stocks i) https://letyourmoneygrow.com/2018/01/15/volatility-clustering-and-piecewise-homoscedasticity-part-ii-2940-stocks/ ii) https://letyourmoneygrow.com/2018/01/16/volatility-clustering-piecewise-homoscedasticity-part-ii-2940-stocks-c/ iii)...

My research from 2012, which shows that #volatility #regimeswitching on major stock indices took place sufficiently long before the financial crisis broke out. Both technical report and ostensive charts. Volatility Clustering and Piecewise Homoscedasticity - Part I - Indices

Thanks, probably I indeed will. My previous attempt seems to be a bit premature but - at least I got this impression from recent QuantLib User Meeting - QuantLib slowly but steadily conquers the financial branch. In particular a guy (from one big insurance company), who almost laughed at my QL...

Building QuantLibXL (Excel QuantLibAddin) with Visual Studio 2017 Building QuantLibXL in Visual Studio 2017

https://www.amazon.com/Learned-Million-Columbia-Business-Publishing/dp/0231164688/ref=sr_1_fkmr1_1?ie=UTF8&qid=1514226660&sr=8-1-fkmr1&keywords=what+i+have+learned+losing+a+million

1, 2) it already take place, though the cause is more prosaic than AI: after the crisis the market shrink down and products got simpler => less need for quants. On the other hand the regulation grew but "more regulation" de facto means not a deeper insightful analysis of risks but more and more...

>I have worked on many (20-30) projects since 1989 (including RiskWatch in 1992). In 1993 I wrote my first ASM-program for ZX Spectrum (Zilog Z80 Processor). 90s were the time as the elegance in software development was a must. (Re)-Starting in 2005 my career in Germany as Quant Developer I...

It shows just a healthy pragmatism. Theorists can speculate on (sic! speculate, not [even try to] improve) the shortcomings and pitfalls of a product, practitioners will either revamp them, or (in most of cases) point out to a pitfall and sketch how to avoid it. In theory one can improve...

As to 1) & 2), Luigi addressed them in his QLUM 2017 talk. Short summary: QuantLib will evolve but using modern technologies is not a goal per se. Finally, backward compatibility is essential (an it is there!). At least because in [big] financial institution quants cannot use what they want...

My notes on QuantLib User Meeting in Düsseldorf QuantLib for Mere Mortals - Insights from QL User Meeting 2017 — letYourMoneyGrow.com - Serving Retail Investors Interestingly, how many of yours have bought Luigi's book "Implementing QuantLib", which is finally complete?

In Germany private investors tended to life insurances and deposits but since the Supermario killed interest rate in EU-Zone, there are lot of ETF providers and robo-advisors that repeat the mantra: in the long term your investment in stocks or an index ETF will grow. Though for a one-time...

Absolutely agree! Esp. 1) “Half of the books about finance are written by authors who have not practiced what they teach” (I would say not half but 90%) 2) “Most journals in finance are merely tenure-track vehicles, in which aspiring professors publish articles not in the hope of having their...

You are welcome. BTW, If you validate a model, you should primarily search not for theoretical inconsistencies but look whether the model captures market stylized fact good (and if it does, whether there is a kind of overfitting or non-robustness to parameter estimation errors).

>take my learning to the next level? Learning of what? A theory? Well, there are many books, I would spontaneously say, read Carmona's one But if you want to engage you knowledge in practice, then I would recommend you to read my LIBOR Model tutorial (it organically extends what you have...

The idea is nice (and I recommend students to try) but not new. One I explained why I don't take part by Quantopian. In which aspect are you better than Quantopian?

First of all mathematical finance (if you mean risk-neutral valuation of derivatives) has very little to do with trading (unless you try to detect arbitrage opportunities). Secondly, some "classical" approaches are chart patterns (https://www.cis.upenn.edu/~mkearns/teaching/cis700/lo.pdf but to...

Another star trader on wikifolio, from my point of view even better than Einstein on the risk-adjusted basis. HBecker - another star Trader on Wikifolio — letYourMoneyGrow.com - Serving Retail Investors BTW, Einstein kept (as expected) his pace and approaches the return of 2500%!

How about marketcetera? As far as I know the project is half-dead but still you might have taken over something from them

Depends on country, company, (to some extent) on your skill and (to more extent) on your ability to sell yourself and your luck.

Currently the stocks are expensive and the commodities are cheap (though not all of them). We conduct a lite analysis of investment opportunities and construct a mid-term commodity portfolio for a retail investor with €10000+ capital. Market Spotlight: Pick up Commodities but be picky —...

Even if you are not a Forex trader, it is often necessarily to get currency exchange rates, e.g. if you trade [the options on] foreign stocks. Fixer.io provides daily FX-rates from European Central Bank for 31 currencies via JSON API. We present a script to get data in R. R-script for Fixer.io...

In your equation B0(1)B1(2) = B0(2) B0(1) and B0(2) are bonds and their prices are known but B1(2) is not, it is so to say, a forward discount rate and you need to calculate it. To understand the algorithm of bootstrapping, look at my QuantLib Notes (from page 27) I give both toy- and...

An assumption that the (spot) gas prices are though random, but once you know (at time t as your storage contract begins) which path was realized, you assume know it completely (to the end of contract T). In a sense, assuming a perfect foresight is just like pricing an American put option just...

A practical application of a model is more art and [gut] feeling of the market rather than science. Even more it makes sense to yield from mathematics and logic what can be yielded from them. Concrete in this case study: one does not need to be a natgas expert in order to understand that the...

Correct model is the one, which makes no implausible assumptions. In this sense I wanted to emphasize that the perfect foresight, which is surprisingly often (mis)used by the energy suppliers, is certainly incorrect. Another point (besides model correctness) is the model robustness. As I have...

Remarkably, many market players in energy market still cannot calculate the fair value of a gas storage. In particular, many of them rely on perfect foresight. We put online a simple but correct model from QuantLib. Confidence intervals are estimated as well. Gas Storage Fair Price | online...

By the way, an idea to price American(!) barrier options with monte-carlo is generally bad. For this you need a least-square Monte-Carlo, which I myself, often use. But if I have an alternative (lattice / finite difference) pricing method, which is already implemented and tested (in QuantLib)...

Yes, @vertigo is right (at least with the fact, that the non-toy volatility models are complex). But this is one more advantage of QuantLib: in my example there is a helper-method, which generates a flat volatility, i.e. the simplest possible boost::shared_ptr<BlackVolTermStructure>...

On 17.04.2017 Yahoo.Finance changed its API, so ichart.finance.yahoo.com is (temporarily?!) unavailable. In particular it means that many R-scripts that rely on quantmod/getSymbols() will not function anymore. We discuss the ways to circumvent the API change of Yahoo.Finance and alternatives to...

Do you need it for studying or for the practical purposes? For the latter have a look at this: Integrating QuantLib with R and Web - Barrier Options Pricer — letYourMoneyGrow.com - Serving Retail Investors (for the former it may also be useful for verification of your solution)

A case study: using QuantLib to price Knock-Out Warrants (a kind of barrier options) Integrating QuantLib with R and Web - Barrier Options Pricer — letYourMoneyGrow.com - Serving Retail Investors (will be soon put online)

Get a track record or a least (paper) trading experience. I can recommend you my book "Knowledge rather than Hope: A Book for Retail Investors and Mathematical Finance Students" (in parallel you will learn R) and my blog (start reading with this: Einstein - a star trader on Wikifolio, who can...

Traders don't code very frequently and if they do, they usually create rapid prototypes in R, Python or Excel/VBA.

Ok, so you need to estimate the volatility of x(t), don't you? Yes, if you don't want to look for a closed-form solution then the easiest way is to generate (a lot of) Monte-Carlo paths for x(t) and then estimate the volatility (which should be a function of \epsilon and \rho).

In order to simulate "a lot of possible paths" you need a model, don't you? In simplest case just dr(t) = \mu dt + \sigma dW(t) So just take \sigma from you model specification as the best (point) estimation of the future volatility :D Alternatively, you can sample with replacement. Then you...

Intended for retail investors but IMO is also very useful for quant-students in order to understand the option price dependence on the price of underlying and (implied) volatility. Option Calculator - estimate the future value of an option — letYourMoneyGrow.com - Serving Retail Investors

Our portfolio simulator allows you to simulate 100 future scenarios of your portfolios, estimate the expected risk, return and correlations, helping you to improve the diversification of your portfolios. The simulator projects the historical returns in future and is completely model-free (in...

A strange question, really! You have validated models and thus you know their pitfalls, don't you? So try to develop a better model. If you succeed, you can switch from validation to development. If not, nobody will need you new model, which is not better than the old one.

"From the hundreds of thousands submitted, the number of codes that have survived? Just 25. Even with those, there’s no guarantee." Quantopian - why I don't take part

Congrats! I cannot say for your country but in Germany it is much more important for career how your previous job was named rather than what you actually did. Portfolio theory? I am interested in your opinion about the sensitivity of the models to the parameter estimation errors. Here (last...

Well, first of all the (productive) backtest period is too small (as far as I know a rule of thumb is at least 3 year). It can be partially mitigated if your system trades frequently (by the law of large numbers it is then proven that your success is not an accident, however, this success may...

Then: no-no. Quantitative and technical skills are very useful but forget about (too) advanced models in Asset Management: unless you are in a big company, nobody will allow you to "waste" your time for them (and if you are in a big company, there are special R&D teams, which, however, are NOT...

Quantitative methods should be (and are) applied in asset management, but you should go only if you are equally interested in reading news and balance sheets. Finally, quantitative and qualitative methods complement, not substitute each other

You shall not compare programmers with data scientists and quants! ;) I, myself, hacked games to put infinite lifes on ZX Spectrum (using Z80 Assembler) in the age of 14 or 15. There was a guy in our high-school, who professionally programmed user interfaces and got paid for it... Entrance...

Yes (they started about 10 years ago to move from Diplom to Bsc + Msc) In Germany one can make an Bsc. in 3 or 4 years (depending on the major), then 1.5 - 2 years for Msc and then 3 years for Ph.D. (Dr. rel. <something>) It is also possible to do a duales Studium (study and work)

Why? Why do you think it will help you to fulfill your plan? Data science is more an art than science and prop firms favor practical skills. Have you ever tried a practical challenge? Something like "test whether the patterns of technical analysis work or not" or "create a market-neutral...

A good strategy might be to name what you know in C++ but be prepare that they will dig deeply in this (sub)area. At least that is what I usually did as interviewer.

@TS If they want to drown you, they will. Nobody knows C++ perfectly, even Stroustrup does not. If you feel that the interview went wrong and you have nothing to lose, slap them back and ask them what the modifier const means in C++ (Hint: it can come up up to 3 times in the method's signature)...

Yes, this is true. I didn't question this obvious fact, I just explain to the TS why the knowledge of QuantLib will likely add little value in context of interview. (You just told him "don't waste time on learning QuanLib for an interview", which is per se, correct, but not enough for a curious...

Yes, this correct. But do you know why? Because the probability, that your interviewers are smart enough to understand QuantLib is pretty low ;) At least this is my personal experience: I had tons of interviews and (besides IKB, a bank that organizes QuantLib Meeting) they either tried but...

A prestigious journal - I was pretty naive! Why do I make it public?! Well guys, as a good case study for all of you, who want to make an academic career. My case is not an exception, all friends of mine who managed to get published in peer-reviewed journals wasted too much time corresponding...

Here are the wavelet spectra vs. (smoothed) Fourier periodogram. In wavelet spectra one sees that there is a (dis)appearing periodicity between level 8 and 10

Likely, you wants to check the stationarity. There are some statistical tests for it, just google. Sometimes you can transform the initial time series to the stationary one (e.g. by taking log() of diff() of it). And yes, stationary time series can be represented in frequency (fourier) domain...

Manhattan was bought for 60 Gulden in 1626, which is often considered to be a one of unfairest deals in the history. However, had Native Americans invested this money under 6% p.a., they could have bought the Manhattan back with all current real estate four times! Numeracy for Traders -...

It depends. If you mean the genuine risk management then the answer is "no, at least not in the near future". But in the sense of this great article the robots are much better (and cheaper) box checkers than humans: Regulators have reduced risk managers to box checkers, making sure they take...

Dear, I appreciate your generosity but I don't care about Baez's or whatever crackpot at all. In asset management and trading only track record matters and I belong to the absolute minority that can beat the market. Look at Taleb, he is not my idol and there are a lot of things I disagree with...

Doing a boring job is even more crap Unless you have passion for it, don't! When you are not a renowned scientiest, doing a research (with a goal to have your paper accepted to a conference or a journal) is a very long-term project with pretty small probability of success. Look which response...

Of course it is not an excuse and I, myself, would have readily learn it if necessary. I actually mean: a) the competition for attention and time of qualified people is high. In this sense Quantopian lost me (and even if I would not create a worthy strategy for them, a loyal regular visitor to...

This was true for the first cohort of quants, now it is not anymore. At least quant jobs get more and more generalistic and more and more non-quantitative skills (i.a. the knowledge of [the basics of] regulatory frameworks) are required.

Pretty bad motivation. One should switch to quant due to passion to (first of all) financial markets and (then) number crunching ability. It doesn't mean that you will inevitably fails as a quant but you should invent a better answer to the question "why have you decided to be a quant", which...

Yes, you can. Ph.D. is only helpful when you have a real passion for studying and research. Otherwise it just dries brains with mathematical formalism. I PM'ed to you, check your messages

First of all, don't expect to have a luxury to do only research in a small team. You will have to do quite a lot of "boring" stuff. Secondly, a quant (or whatever) fund is for making money, not for doing a research. Many (most of?) trading models are really simple. And of course you should have...

How about https://scholar.google.com ?

Like every author, I recommend my own book, Knowledge rather than Hope: A Book for Retail Investors and Mathematical Finance Students The main argument to read this is probably my track record, i.a. I beat the (German) market with my portfolio. However, no book will make you an expert. In...

Jan 19, ok, now it would be too short term... Of course there are number of questions (a good reference is e.g. FAQ in Quantitative Finance by Wilmott). However, more or less standard questions are not the only scenario. They may ask you e.g. to name all stocks you know from Dow Jones (to see...

Quantopian - why I don't take part Quantopian is a very interesting FinTech project for virtually everybody, who wants to try the algorithmic trading. Yet I explain why I myself - a successful trader, experienced quant and good programmer - don't take part (and what Quantopian should undertake...

You are welcome. Well, if you know the joint distribution on your returns, then you may do without approximations. Look in Breiman, L. (1961). Optimal gambling systems for favourable games. In Fourth Berkeley Symposium on Mathematical Statistics and Probability, volume 1. Univ. Calif. Press...

Dream further! :P I suggest you play around with a simple R-script from this post Stripping down the robo-advisors: sparrow-brains inside — letYourMoneyGrow.com - Serving Retail Investors which shows how difficult (and virtrually impossible) it is to estimate the genuine market parameters from...

A typical question "which theories on quantitative finance to read about" — letYourMoneyGrow.com - Serving Retail Investors

Hi there, recently I have implemented a pension calculator according to German mortality* table and compared which pension I would have got, if not contributed to the state pension system but saved by myself. The result was very sad: the father state (Vater Staat) robs me! What it promises to...

As such they offer a standard stuff (which is not enough to be a good financial engineer but an Msc. Program is limited to 4 semesters, so one needs to compromise). However, I can say that a course on yield curve is pretty miserable, they even don't discuss LIBOR Model, let alone handling...

If you are going to pursuit an MSc in ML/DS you already have a BSc in quantitative science, haven't you? Then it will be easier for you to understand that getting a job (esp. in a top company) is always a matter of chance (to some extent). Writing an outstanding thesis and making a couple of...

To be true I only vaguely understand what you want (though I read your post several times). Generally, it depends on the kind of data you want to interpolate. So you want to linearly interpolate stock prices (from monthly to daily), don't you? If yes, it is a bad idea, as the volatility is not...

Nobody (in either case me not) says that Ph.D. is useless. I say that unless a person has genuine interest in science a Ph.D. is a waste of time. Indeed, wasting 5 years of time (instead of getting professional experience) and ending-up with a mediocre dissertation will not thrust a career.

What they write in Job/Ads and what they really require may be different ;). Disclaimer: I am not an expert for English Hedge Fond Labour Market, but I know enough guys that work "merely" with German Diplom or Msc in banks, funds and proprietary trading companies.

PhD is - unless you are genuinely interested in science - is a waste of time. Deep math knowledge will not hurt but the quantitative trading strategies are not about complicated math. Forget millions of papers that (implicitely) affirm the opposite - they are written by virgins, lecturing on sex...

loan != loan in Germany ;) To be true I know little about credibility requirements for consumer credits (Verbraucherkredit) but as to mortgage (Baukredit, Immo-Darlehen), virtually anyone who can, in principle, redeem it till retirement, can get it. Downpayment is not critical at all. However...

They are, but such a model would be too complicated for a layman. So I keep it simple or even simplystic. 1. We assume that a typical mortgager can pay a certain monthly installment (what remains from his salary after food-, car-, children- and other costs) and that he should completely...

My model is not about mortgage debt held by banks. My model is about how a shift of rates influences a) the (residual) mortgagers' debt b) the market prices of real estate

Will see. I expect Japanese scenario: stagnation and long-term near-zero interest rate. Because IR is not an abstract random variable, finally, it is driven by economic growth, which slows down (and will be unless humans colonize other planets). But downtrend in a long term does not mean that...

Then buy a boat! ;) Mean-reverting?! Open your eyes and look somewhat beyond Vasicek & Co: I did IR-risk management for German government and I know what I am talking about.

The house prices! ;) Both {low prices; high rates} and {high prices; low rates} are ok. But {high prices; high rates} will (sooner or later) lead to crash. You should not compare the Netherlands and Germany. I have recently been to the Haag (nice city). You have f.ckingly expensive restaraunts...

... which tells us why German real estate market will likely crash

Anti-Asimov’s Three Laws of Robo-Advisory Sincerely yours, I, RoboAdvisor :)

As such the idea to make the most money is not stupid (non-material advantages like interesting tasks and friendly colleagues are pretty vague and deteriorate easily). The problem is that you have to plan in long-term, which is hardly possible. Ten years ago quant earns very good money, after...

Strictly speaking, big data is a very special use case: the data that you cannot put on your (conventional) HDD, i.e [currently] >10 Tb can be considered as big. Hadoop takes care about storing you big data in cluster, consiting of (conventinal) hardware notes, IMO for a Data Analyst it is not...

My Fund Somewhat better than DUCKS is 1 year old: a festive but fair review My wikifolio (“Somewhat better than DUCKS”, ISIN: DE000LS9HDK3) is investable from 28.10.2016. It surely beats the DAX (main German stock index) both on absolute and risk-adjusted performance. Though I am very proud of...

Commerzbank?! :( Germany "Other" Bank: Commerzbank To Fire 9,000, 18% Of Its Entire Workforce | Zero Hedge

Do they use Daniell integral approach? If yes, avoid it! It is elegant but vicious for quants since by this approach the measure is constructed from integral (it is not what we encounter in financial math).

I think those who read this forum regularly are aware that our views on measure theory differ. In a link on wilmott you provided above Alan says "I think I can safely guess that no MFE graduate understands the Girsanov Theorem". (With an exception of myself) it seems to be true but whether...

Only my own experience, sorry. Yes, I combined (in my opinion) the best approches from different sources. "|_|" means the union of disjoint sets. If you talk about a (sigma)-additivity, you need to work with disjoint sets. Ach, really? Show my another pdf where the interplay of probabilistic...

I highly recommend Stochastic Calculus for Finance II: Continuous-Time Models by Steven Shreve. Ten years ago I managed (after a long break in my mathematical education) to learn stochastic calculus with this book. As to the measure theory, well, all of my co-students managed to do without but...

My (non-technical) essay. Summary: *BigData and DeepLearning are popular buzz words nowadays. But the number of the genuine success stories is relatively small. *In trading the BigData technology is mostly associated with automatic analysis of the news and sentiment in social networks. But...

>Seeking a book ... In USSR they used to say: the best fish is a sausage. So instead of reading books. find a real world problem and try to fit the best model (e.g. in the sense of QQ-Plot) from numerous R-packages.

I often hear (even from financial professionals) that a track record may be a pure luck and in either case one needs at least 10 years of track record to "boast" with it. I show that (given a sufficient number of trades and independence of the market regime) 2 or 3 years are enough to make a...

I meant of course not completely debt-free, but debt-free in the sense of the mortgage in question. In Germany if one goes to Zwangsversteigerung (forced foreclose) and his house is sold for, say, €100K, whereas his Restschuld (remaining debt) is €150K, his debt will finally be €50K.

As an exception, a post in my blog in "liberal arts" (rather than quantitative) style. Five lessons to learn from The Big Short (film). By the way, I expect (sooner or later) a Medium Short in Germany. Medium, because (contrary to US) giving your house back to a bank does not make you...

Generally, yes. Even if you (or your algo) trade systematically, you need market opportunities, i.e. a special market regime. E.g. if you are a trend follower you need trends :) Two more concrete examples: *my first portfolio "Somewhat better than DUCKS" justifies its name and beats the DAX...

R-code: library(quantmod) startDate = '2007-01-02' endDate = '2016-09-28' getSymbols("LHA.DE", from=startDate, to=endDate) #Lufthansa chartSeries(LHA.DE, subset="last 6 years")

For what? Do you want much money? Well, quant are still relatively well-paid but the learning curve is steep and it is not so easy to find a job. Yes, I can. Here are 6 years charts of Lufthansa. Can you automatically detect the distinct peaks and dips automatically (and fit trendlines)? You...

Here is a cocrete example: yesterday I recommended to buy K+S stock, which is very volatile. By that time I, myself, held 4% of my capital in it, the position drawdown was about 5%. Today the stock grew about 2.5% and I reduced in K+S my position to 3%. I will likely reduce it to 2% by the next...

That's what I said: How do you conclude ?! What I mean is that (if the risk/reward is good) I CAN buy a highly volatile stock and tolerate a relatively high drawdown by THIS stock (but it doesn't mean that I accept a high drawdown for the whole portfolio). Moreover, if I buy a...

Purely numerically mostly yes (but sometimes still no) http://www.decal.org/file/1071 The advatage of Kelly is its economic insight. Markowitz is one-period model, whereas portfolio management is essentially muliperiodic. And there is no plausible idea of "fractional Markowitz". Did I?! A link...

Yes, but the share of non-DAX stocks is relatively small. Not because I explicitely promised it but rather because DAX is my benchmark and I have to (more or less) stick to it. Yes, first of all the oil (currently it is pretty easy to trade with). But also in relatively small proportions. In...

Kelly criterion is my starting point. But numerically it is as unstable as Markowitz, still it is useful to understand (and to quantitatively estimate) the danger of overbetting. Moreover, since I am pretty risk averse and my Kelly fraction is relatively low, numerical instability is not so...

A follow-up about power and limits of the diversification. Triggered by this discussion on NP. Summary: Sometimes (esp. to fool inexperienced retail investors) the diversification is claimed to be a silver bullet (even in a financial crisis). I show that in crises the diversification effect...

Hi guys, have a look at my critical review of robo-advisors. Summary: Robo-advisors promise the risk profiling in a few easy steps, which is unrealistic both from mathematical and behavioral points of view. The “optimal” portfolios are usually based on Markowitz-like models, which are...

I successfully did it by Deloitte in Germany (though finally decided for German Finance Agency). Anyway, you may try, if they don't negotiate they will tell you about it :)

The first two chapters are available on my webpage: Visitor anti-robot validation All R-scripts can also be downloaded: Visitor anti-robot validation

Well, on a sell-side your clients are likely suspicious and reluctant to buy. You may do a great assistance to the sales stuff if you prepare some convincing statistics that the investors make a right decision, if buy. I am not an expert in real estate, so cannot say which (though I, for one...

Hi Guys, I want to share my experience, have a look at my post at LinkedIn To be a portfolio manager you need a PROVEN track record - and it is YOUR task to prove Discussion and feedback is very welcome!

Still you should ask them (or shall we guess without any info?) Tell us what they use, what they don't by find potentially useful and, last but not least, what and how they trade (I mean which asset classes and markets, long-term or short-term, and so on). Then we will likely be able to advice...

>What tools/reports/ideas can I generate for my traders/sales people Why don't you ask your traders/sales people?

My use case: I had a legacy tool written in Excel/VBA and needed to extend it quickly with advanced time series functionality. I called Rscript.exe from VBA code. If you have to transfer a significant number of parameters, you might need to right and read them to/from files (both in Excel and R...

>I have heard reports of large-scale automation of market risk roles Well, some day they also may build the SkyNet :)

1) In quantitative finance you have to learn a lot (much more than a normal individual can ;)) The only way is to learn the fundamentals to than you can further dwelt in any (sub)area of your interest and/or professional need. One example from my own experience: as students, we were to choose...

You cannot convert an arbitrary non-stationary process into a stationary one (btw, ARIMA is NON-Starionary, but accounting for I-Part, you can reduce it to ARMA, which is stationary). There is a wide class of locally-stationary processes, i.e. though they are non-stationary, their parameters...

Then just start programming. And have some code on GitHub or BitBucket (in USA, as far as I know it, the employers in IT branch primarily care not about which diploma you have but rather about what you can really do).

what country do you live in?

It's a real wonder that we hear the voices of those that were pushed by dolphins to the shore but it is no surprise that we do not hear those that were pushed into the sea. :)

A very good lesson for those, who wants to waste their time making a a pure math Ph.D. (which also the case for pure financial math, i.e. making complicated modes that do not work and are not interesting even for peers, let alone practitioners). A short answer is no. Sorry for being tough...

What I wrote yesterday as comment to my portfolio (Somewhat better than DUCKS | wikifolio.com) 23.06.2016 23:07 Allgemeiner Kommentar 75.7% in cash, 2.2% in ETC (Kupfer long, Öl Short) und nur 22% in Stocks. Klar setzt der Markt auf **Bremain** und so wird wahrscheinlich sein. Dann kann DAX noch...

abel elizalde

Unfortunately not much, since I am quite good in stocks and commodities (Lang & Schwarz AG O.End 15(15/unl.) WF999DUCKS - LS9HDK - Zertifikate | comdirect.de) but I rarely trade currencies. So what I can suggest you is: 1) to follow pingu's advice and start getting your fingers dirty with a real...

Of course. A bucket shop is an unserious "broker" that cheats you. Usually they even do not hedge your position on the market but rather just net the stakes of two customers (if e.g. the 1st one goes long in EUR/USD and the second goes short). But if there is nothing to net your position with, a...

Dude, listen to pingu! An obvious difference between the demo and real money account is like going a catwalk, which is 1 meter above the ground vs. going the same catwalk, which is between two skyscrapers. A less obvious difference is e.g. if you open account by a bucket shop and set the stop...

Then you should look how to switch to FinTech, not to QF. Programming is an essential part of virtually any quant but they mostly debug the legacy code and write scripts than develop something really cool. But if you (for whatever reason) do want to be a quant-developer, start learning QuantLib...

Usually little. And if there is no initial data and the source code then they are useless (and actually harmful since they may come to wrong conclusions due to programming error, recall Reinhard and Rogoff case).

Then look at my fund "Somewhat better than DUCKS" vs. DAX Lang & Schwarz AG O.End 15(15/unl.) WF999DUCKS - LS9HDK - Zertifikate | comdirect.de And yes, first chapters are basic because you need a basis for your applications.

What is your motivation to switch?

Have a look at my book: Amazon.com: Knowledge rather than Hope: A Book for Retail Investors and Mathematical Finance Students (9783000465208): Vasily Nekrasov: Books (some free chapters and all R-skripts are available on Visitor anti-robot validation) You will neither find an out-of-box alpha...

Then it will be a good exercise for you (and I will not be surprised, if for your prof too). Here is a sample script to calculate a simple barrier option in BS-world, try to understand it and play around with it to see how many paths you need to make the simulation results converge (Convergence...

Of course! Let your students run a Monte-Carlo in R to calculate the price of a derivative, for which a closed-form solution exists. After they compare the results from formula and Monte Carlo, they will (most likely) be unpleasantly surprised. R is a great tool and I love it. However, if you...

Well, larger than I wished they to be but still manageable. At the beginning it was really a bottleneck but we analyzed the way we communicate and radically improved its efficiency. Yes! This is exactly what she does (well, I did DB myself because it was easier than to explain her about...

Good article! I can share some of my experience. Prologue: @Daniel Duffy : do you remember your opus about €200 - €500 hourly rate? I did found a pretty talented developer in Ukraine, who works for €100/mo (+ of course an xx% share in project). We decided to develop not a financial supermarket...

If you can rewrite your code in CUDA (a C-like language for programming nVIDIA graphic cards), you can accelerate your backtesting by 100 times and more. It will likely be technically easier than deploying your code in a cloud. Have a look at how I engaged GPUs to solve a very computationally...

Schön wäre es. It is per annum and it is brutto(before taxes) , still it is really not bad, esp. for 35 h/week. Yes, you are. I would not skeak for the whole world but in Germany very few quants [primarily] deal with math and statistics. Most of them do reporting and regulatory things and...

You'd better move to Germany, here the electrical engineers earn [much] better than quants. I know a guy of your age, who is an engineer for electromechanics and he earns €100K+, (ok, this is all-in but he is working 35 hours per week).

As a fresh graduate I needed a little bit more, but probably they wanted to check whether there are programming skills at all (at the Uni-Ulm the curriculum for Master Students of quantitative Finance does not contain any programming courses but clever students like me attended additional...

At the university we studied Box-Muller. As I started my career one gave me a task to rewrite an implementation of Box-Muller from C++ to Java; it was a test on a Schnuppertag (trainee test day). Generally, quants just blindly use reputable out-of-box libraries, unless pretty the performance...

Yes! This advice is not mine but from a guy, how made more than 1600% return in three years (https://www.wikifolio.com/de/de/wikifolio/platintrader-1000-leidenschaft) (Never buy options, CFD's or Derivatives, in the midterm they will result in total loss)

Though she is reading my text, she understands what she is talking about. This my main principle: find cute models that do understand the subject. Hard job to find such girls but otherwise the videos would be insincere.

There are subtitles in English (activate them in your YouTube settings if you don't see them).

Sex sells! ;)

Have a look :) If you have questions, please ask them directly in comments to this video

Exactly! And if an potential employer receives your CV from more than one headhunter, your CV will land into waste paper bin, because it is my easier than to clarify which headhunter gets fee and so on. Moreover, a bad hadhunter (and 99% are bad) actually brings negative value. You, yourself...

A transition from Shreve to rigourous IR-Models can be hard. My tutorial on LIBOR Model might be a good bridge.

A rhetoric question: what kind of machine learning could have predicted, say, shale oil?! On the other hand any decent trend-following system would recognize the recent downtrend on oil market. IMO one should never blindly rely on computer but a computer may be very helpful since it does all...

ok, learnt something new ;) Functional calculus - Wikipedia, the free encyclopedia Anyway, "a theory allowing one to apply mathematical functions to mathematical operators." will hardly be demanded from a parttime freelancer :P

Hi, 0) I know functional analysis but never heard about functional calculus. 1) Don't expect that anyone will appreciate your friend's math skills (at least in case of part time job in quantitative finance). All known models that (more or less) work are already implemented, inter alia in free...

Confirm from my practical experience: guys and gals that were able to clearly explain a problem in layman terms usually created practically efficient models and/or their implementations. I also encountered many theorists that readily chatted about mathematical nuances but were unable to solve a...

Hi Franko, being both quant and data scientist I would not say that the transition "quant <--> data scientist" is straightforward. And in practice these domains have not so much shared stuff (well, unless you develop statArb/quantitative trading strategies). As a "classical risk neutral quant"...

Hi, the best way is IMO to get a solid understanding of general theory (no-arbitrage, risk-neutral world) e.g. with Shreve's textbook and then quickly get your hands dirty with QuantLib and/or OpenGamma. It is pretty hard to get started with QuantLib but my notes should help to make the [most...

Hi Joseph, 1. The golden time of quantitative finance are over since crisis 2009 (current hype for number crunches is big data) 2. They expect from quants more and more generalist knowledge, which also includes knowledge of regulation frameworks like Basel III. 3. Even if they "excuse" your age...

Trading history is (or at least should be) available by every broker. But many brokers just keep the list of your transactions. And no potential employer will waste its time to compile and evaluate your trading statistics from this list. So you need something like wikifolio, where your trade...

In a sense your trading history is your track record. However, for this purpose using a retail broker is not optimal: if a broker is cheap it usually has very reduced functionality and i.a. even cannot plot historical growth of your portfolio. For an effective demonstration of your track record...

Before you start with this very complicated domain, you should have a good command of "classical" (i.e. non-negative and single-curve) interest rate modeling. That's why I would first recommend you to go thru my tutorial on LIBOR Model...

http://www.yetanotherquant.com/QuantLib/book/BookQuantLib.pdf http://www.yetanotherquant.com/QuantLib/book/sourceCodeAndDiagramms.zip

My post regarding two German Modehäuser (both small caps) Tom And Gerry - Turnaround By Two German Fashion SmallCaps

Ah, this GARCH is good for getting Nobel Prize but not necessarily for practice ;) Just look at historical vola at different time frames. For instance, Henkel is low-volatile stock: Henkel AG & Co. KGaA Inhaber-Vorzugsaktien o.St.o.N - 604843 - Aktien | comdirect.de Deutsche Bank is...

Literally, a good communicator :) I.e. I regularly comment my trading activity Fundamental: P/E ratio, Cashflow, Debt structure. Technical: trends, support and resistance, a couple of my proprietary indicators. (Note, I do NOT use any patterns, in particular nonr of those discussed in this...

Nvidia site in deep machine learning is (predominantly) on image recognition. In this domain the deep learning (i.e. convolutional neural networks with many hidden layers) really kicks ass. In financial area the deep learning seems to be more hype that a breakthru technology (IMO). For instance...

Not every single trade but generally I do not spare comments, that's why I have a badge "Guter Kommunikator". It depends. The decisions are both technically and fundamentally (micro- and macro-economically) based. I also try to cut losses quickly.

Hi, often investing in an fund means trusting the fund manager and relying on funds historical performance (which, however, does not imply good future performance). And of course you should be more specific on what you mean with ETF. This term is indeed often used for the funds that just...

It may really depend on your location but for the German market the answer is definitely without. First of all many "headhunters" are just CV-pickers and they even publish fake job-ads (they need a big CV database to attract customers). Second, the candidates that come via recruiters are more...

You are welcome and thank you for your interest to my book. I hardly discuss time series analysis in it (otherwise a target audience would be much narrower) but I do show how to engage the power of R (all scripts can be downloaded here: http://www.yetanotherquant.com/rcode.zip)

If you don't like cats, likely, you just cannot cook them properly! :D R is a great tool with a great amount of (not always great) packages. As to fitting a time series model to the real data, it is both art and science. Don't expect to learn it from profs that never dealt with real-world...

>I was surprised that you said BSc. is enough. Just to make it clear. I, myself, have an MSc (was necessarily to to make it in Germany in order to get a work permit there). I also have written (though not defended) a Ph.D. thesis because I love researching. I needed an advanced and complex...

Don't put too much hope on Msc and Ph.D. Ph. D. (unless done parallel to job) is a waste of time, Msc. will not hurt (but if you are going to trade only primary assets - stocks, bonds, commodities - not derivatives, BSc. is enough). And - practice, practice, practice! Start building your track...

Neither qualified employees like them. I, for one, encountered several times a situation, as I tell a "head hunter" about my experience with interest rate modeling and then she asked whether I have knowledge in fixed income. How about publishing a job-ad on this forum, on...

BTW, yesterday I was again better than market. Most of "experts" believed that the Supermario would not shock the market. My idea was: ok, to be on the safe side I sell and after his report I buy back. I did buy back but at much better prices ;)

Hi Sebastjan, I do. It is a job of supplier, i.e. of your employer. A distributor (if you mean Netzbetreiteber/network operator) is technically responsible for a smooth supply of the end-customer (even if a supplies, i.e. your company) reserves (nominates) a not (perfectly) correct amount of...

1. and 2. - yes but I highly doubt the power of 3. and 4. (I mean 3. and 4. may help and definitely won't hurt but do not expect too much from them)