/sci/ - Science & Math » Thread #12412906

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/mfg/ - Mathematical Finance General

Anonymous Wed 02 Dec 23:12:12 2020 No.12412906 View Reply Original Report

Quoted By: >>12415058 >>12415253

Quasi-Monte Carlo Edition

Discuss the most lucrative application of mathematics, namely quantitative investing.
Anons will help you get started if you want (probably)

Anonymous

Anonymous Thu 03 Dec 2020 00:45:16 No.12413179 Report

Quoted By: >>12413194 >>12415204

Really interested in this, what's the best book for basics?

Anonymous

Anonymous Thu 03 Dec 2020 00:51:09 No.12413194 Report

Quoted By:

>>12413179
Depends on your background and what you are looking for. ?

Anonymous

Anonymous Thu 03 Dec 2020 01:04:17 No.12413234 Report

Quoted By: >>12414851

Has anyone ever tried using epsilon-delta arguments to extend no-arbitrage theorems by accounting for transaction fees?
I'm thinking of something along the following lines: for an arbitrage-free trading strategy f and any maximum allowed loss $\varepsilon > 0$ , to express the maximum allowed transaction fee $\delta > 0$ such that following f will guarantee that you lose at most $\varepsilon$ .
A general formula would presumably depend not only on $\varepsilon$ but also on the assets traded, the relationships between them, as well as the rules of the exchange platform. But I could see even the simple special cases being useful for making practical investing decisions.

Anonymous

Anonymous Thu 03 Dec 2020 11:09:38 No.12414585 Report

Quoted By: >>12415204

How to get started on this path if I am in a third world shithole? I really find this an interesting field, but I'm afraid my maths background is quite lacking. I'm currently going through Tao's Analysis and Halmos Finite-Dimensional Vector Spaces.

Anonymous

Anonymous Thu 03 Dec 2020 13:48:46 No.12414851 Report

Quoted By:

>>12413234

The Leyland Model (1985), Utility-based Model of Hodges & Nieberger (1989), the model of Davis, Panis & Zariphopoulou (1993), the model of Hoggard, Whalley & Wilmott, (1992), Hedging to a bandwidth: Whalley & Wilmott, (1993), and Henrotte (1993), etc. Basically you're 30 years too late to come up with an original idea about that.

Anonymous

Anonymous Thu 03 Dec 2020 15:06:40 No.12415058 Report

Quoted By:

>>12412906
good thread OP, sadly this board is a shithole and won't appreciate it

Anonymous

Anonymous Thu 03 Dec 2020 15:54:04 No.12415204 Report

Quoted By: >>12415227 >>12415736

>>12414585
Even third world shit holes have businesses (unless you are africa-tier). If you can't emigrate then at the very least move to your capitol and try to get into the most jewish financial company you know. If you are successful they might move you to London or NYC or wherever Jews congregate for money making. But best bet is to try and get into an American graduate school, even a shitty one will do.
>>12413179
If you want something practical than Wilmott's "Derivatives" is a good intro book.
Something more mathematical would be Shreve.

Anonymous

Anonymous Thu 03 Dec 2020 15:59:00 No.12415227 Report

Quoted By: >>12415268

>>12415204
Wilmott is trash. Shreve is good but too basic. Oksendal is the real introductory test to mathematical finance. If you can't into Oksendal I'm afraid you're not ready yet.

Anonymous

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Anonymous Thu 03 Dec 2020 16:06:45 No.12415253 Report

Quoted By: >>12415262 >>12415270

>>12412906
Bros, be honest with me. I'm going to be 30 when I finish my degree. Is that too late to get a quant trading job? I hear the work is really stressful and the median age of traders is really low because of that.

Anonymous

Anonymous Thu 03 Dec 2020 16:09:37 No.12415262 Report

Quoted By: >>12415357

>>12415253
Why are you so old? It's not a deal breaker but you should have a good excuse

Anonymous

Anonymous Thu 03 Dec 2020 16:11:06 No.12415268 Report

Quoted By: >>12415273 >>12415279

>>12415227
What of Oksendal? There are few books of his on libgen

Anonymous

Anonymous Thu 03 Dec 2020 16:11:29 No.12415270 Report

Quoted By:

>>12415253
quant trading jobs have only one barrier: interviews. If you can pass the interviews you're good. Work is stressful during the day but hours are not like IB, so you'll have time for your personal life. Talked with many people in the industry so I know.

Anonymous

Anonymous Thu 03 Dec 2020 16:12:34 No.12415273 Report

Quoted By: >>12415286

>>12415268
Stochastic differential equations

Anonymous

Anonymous Thu 03 Dec 2020 16:15:36 No.12415279 Report

Quoted By: >>12415282 >>12415286

>>12415268
He probably means SDEs w/ applications. I think he's memeing though.

Anonymous

Anonymous Thu 03 Dec 2020 16:16:41 No.12415282 Report

Quoted By: >>12415286

>>12415279
I'm serious

Anonymous

Anonymous Thu 03 Dec 2020 16:18:09 No.12415286 Report

Quoted By: >>12415292 >>12415297

>>12415273
>>12415279
>>12415282

what are the prerequisites? i'm a highschooler with too much time on my hands, interested in becoming a quant. how old people usually are when they read this book?

Anonymous

Anonymous Thu 03 Dec 2020 16:21:45 No.12415292 Report

Quoted By: >>12415315 >>12415342 >>12415523

>>12415286
Oksendal is approachable if you have a background in analysis, measure and probability. Sadly math finance is a quite advanced topic.

However if your prime objective is to work in quant trading, then enroll in a math degree and bust your ass preparing for quant interviews. Then aim for a summer internship in a big bank or market maker (hedge funds too if you're Ivy).

Anonymous

Anonymous Thu 03 Dec 2020 16:23:15 No.12415297 Report

Quoted By: >>12415315 >>12415342

>>12415286
1. Stop being underage
2. Stop being ESL
3. Learn measure theoretic probability and PDEs

Anonymous

Anonymous Thu 03 Dec 2020 16:28:29 No.12415315 Report

Quoted By:

>>12415292
>>12415297
thank you

Anonymous

Anonymous Thu 03 Dec 2020 16:35:16 No.12415342 Report

Quoted By: >>12415365

>>12415297
>>12415292
one more question. is the best i can do rn is to prepare for IMO?

Anonymous

Anonymous Thu 03 Dec 2020 16:38:30 No.12415357 Report

Quoted By:

>>12415262
I fell for the phd meme.

Anonymous

Anonymous Thu 03 Dec 2020 16:40:59 No.12415365 Report

Quoted By: >>12415382

>>12415342
Sorry I can't read so I misinterpreted your question. IMO is good and most quants did well on the IMO. Some Quant interview questions kind of mimic those topics sometimes.

Best you can do is prepare specifically for quant interviews; maybe IMO on the side. A lot of material online + books.

Anonymous

Anonymous Thu 03 Dec 2020 16:43:56 No.12415382 Report

Quoted By: >>12415399

>>12415365
quant interviews at 18? wouldnt a better idea be focusing on admission to one of the better universities?

Anonymous

Anonymous Thu 03 Dec 2020 16:47:15 No.12415399 Report

Quoted By: >>12415460

>>12415382
Field is too competitive so the earlier the better. Uni pedigree is important only if you want to go straight to big name hedge funds during undergrad. Otherwise a math degree in a good university is enough. I've even seen quants with low ranked undergrads in math.

Anonymous

Anonymous Thu 03 Dec 2020 17:01:26 No.12415460 Report

Quoted By: >>12415477

>>12415399
wouldn't IMO help me acquire problem-solving skills that would make getting a degree a far less time-consuming process? the time so gained could be used in preparation for said quant interviews, no?

Anonymous

Anonymous Thu 03 Dec 2020 17:05:00 No.12415477 Report

Quoted By:

>>12415460
Not an expert on IMO. Ask on the math thread

Anonymous

Anonymous Thu 03 Dec 2020 17:17:33 No.12415523 Report

Quoted By: >>12415599

>>12415292
Which books would you recommend after Oksendal? If there are any, that is.

Anonymous

Anonymous Thu 03 Dec 2020 17:38:37 No.12415599 Report

Quoted By: >>12415623

>>12415523
publications by Brigo & Mercurio would be a basic read for example, especially for fixed income. Also papers on stochastic vol (like Heston) are a basic need.

Anonymous

Anonymous Thu 03 Dec 2020 17:46:39 No.12415623 Report

Quoted By:

>>12415599
Thank you!

Anonymous

Anonymous Thu 03 Dec 2020 17:48:48 No.12415636 Report

Quoted By:

There are x cards in a deck.
y of these cards lay on the board.
What's the possibility of encountering the card on the same space two games in a row, provided that the positioning of the cards is always the same, and the chance of encountering any of the cards is the same for each

Anonymous

Anonymous Thu 03 Dec 2020 18:14:50 No.12415736 Report

Quoted By: >>12415853

>>12415204
I think there are some companies here that hire people with quantitative background (maths, physics, cs). But, those are accounting companies, and they're mostly data science jobs. Is it a good stepping stone? Another alternative for me is to join a startup about AI. Honestly, I just want something with lots of maths and problem-solving.

Anonymous

Anonymous Thu 03 Dec 2020 18:39:24 No.12415853 Report

Quoted By:

>>12415736
Anything with machine learning that involves money is a good stepping stone.

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