Public service announcements for quants - forex trading strategies uk

Public service announcements for quants ~ forex trading strategies uk

   1.  Conference on Computational Topics in Finance, February 19/20, 2010, National University of Singapore. The topics will include using R/Rmetrics in finance, but the conference is by no means confined to R. See http://www.rmetrics.org/.

   2.  Consulting position (6-month renewable contract) available at a major Canadian bank in Toronto:  research in  various mathematical algorithms used for pricing of interest rate derivative instruments like swaps, caps, swaptions, FRAs. Please contact their recruiter at http://www.linkedin.com/pub/kevin-p-w-wang/6/899/29a.

   3.  A free copy of Chapter 8 of "High Probability ETF Trading" which I mentioned here is now available for download.
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A job opening for quants - forex trading strategies wiki

A job opening for quants ~ forex trading strategies wiki

Alphacet told me that they have a job opening for a quant who will be helping their clients backtest trading strategies, among other responsibilities. Given that Alphacets clients include several major investment banks and hedge funds, this position should provide pretty good close-up view of how the major quantitative players operate.
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How is the job market for quants these days - forex trading systems and strategies

How is the job market for quants these days ~ forex trading systems and strategies

Felix Salmon claimed in this post (hat tip: J. Rigg) that the quant job market is alive and well. However, I havent heard much from the usually diligent headhunters in the last few months, which doesnt bode well. Maybe some of our readers can comment on the current state of the quant job market?

In that same post, Felix wondered whether to incorporate the extraordinary period of 2008 as part of backtesting data. Actually, I dont see much of a problem here -- of course one should include 2008. The only reason a trading model would have performed poorly in 2008, as opposed to 2006, 2007 or 2009, would be that its parameters are fitted too tightly to historical data. If you try out some parameterless trading models like I advocated, 2008 is not that unusual except for its higher volatility.
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The Quants - forex trading strategy tester

The Quants ~ forex trading strategy tester

Once in a while, a book about trading written for the general public contains some useful nuggets even for professionals.  Fortunes Formula was one. It introduced me to the world of Kellys formula, Universal Portfolios, and the maximization of compounded growth rate. The Quants, by WSJ reporter Scott Patterson, is another. (Hat tip to my partner Steve for telling me about it.)

What is the most important take-away in The Quants? No, it is not that you should learn to become a master poker player or chess player before hoping to make it big, though you would think that given Pattersons exhaustive coverage of poker games played by the top quants. Among my own professional acquaintances, trader-poker-players are still a minority.

The most important take-away is what ex-employees said about Renaissance Technologies: "there is no secret formula for the funds success, no magic code discovered decades ago by geniuses .... Rather, Madallion [Fund]s team of ninety or so Ph.D.s are constantly working to improve the funds systems, ..."

In other words, though you may not have 90 Ph.D.s  at your disposal, you can still work on continuously improving/refining your strategies, improving the engineering of your trading environment, and increasing the diversity of your strategies. And though you may still not archive 60-70% annualized returns every year, you will nevertheless enjoy stable returns year after year.

By the way, it is good to see my ex-colleagues Lalit Bahl, Vincent and Stephen Della Pietra mentioned in the book, all of whom left IBM to join Renaissance many years ago, and who are extraordinarily nice and friendly guys, quite in contrast to the norm on Wall Street.
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