I just answered an emailed question. I suspect @KrisAbdelmessih @SinclairEuan @therobotjames and others get these too.

"I'm a smart engineering/CS/math student/graduate. How do I get into quant trading?"

A thread. 👉

2/ I'm going to preface this by asking an important question:

Why trading?

Almost every outsider has an idea of what trading is that's pretty far from the reality. It's not "deploy cool ML models on gigabytes of data". It's:
- Do I have enough cash margin in account JP44315A?
- Why does the data format disseminated by broker X suck so much with this new update?
- How do I optimize my tax footprint?

And a thousand other little annoyances. Plus:

- Am I about to incinerate $ somehow?
4/ Rarely, only rarely, it's something like:

"How do I deal with outliers a tiny bit better in this simple linear regression?"
5/ That said, you have two options:

Option A: Get a job at a reputable prop firm. There's a sliding scale of reputability. If they don't pay you a (good) salary, run away fast! Above that it's trying to get into the best place possible.

6/ Be awesome at stuff. I'm sure y'all have heard me say it:

I want to interview anyone who's the 3rd best player in the world at some obscure chess variant.


If you've done something really hard AND unusual AND vaguely related to making good rational decisions, let's talk.
7/ Option B: Get a job at FAANG.

Make as much money in your day job as you can. Find people (online) that share your interests and who aren't stupid. Find other more-experienced people to learn from.
8/ Never ever pay anyone who claims to tell you what trades you should be doing. Run away! Heck, you can even ignore the people who tell you want to trade for free!

You're welcome, I just increased your signal-to-noise ratio by 40dB at least.
9/ Try stuff, try lots of stuff. Get good at creating and testing ideas. Maybe over time you get comfortable enough to make the jump.

But it's overwhelmingly likely you won't.
10/ You'll enjoy your work at FAANG, you'll get married, have kids and other things will occupy your life.

Your kids' soccer team.

And that's fine too.


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More from @AgustinLebron3

2 Apr
1/ A short thread about priors.

- What are they?
- Why do we need them?
- A few specific priors I hold.
2/ Priors are supposed to be "beliefs you hold before seeing the data".

Taken at face value this is crazy. You've been collecting data since the day you were born.
3/ But what we usually mean by priors (in a non-technical sense) is "what is your default assumption".

You may object "Ah, I don't hold any assumptions until I see the data."

That's dumb. (A) You do actually, and (B) you couldn't function in the world if you didn't.
Read 12 tweets
31 Mar
A book review: London And The 17th Century


by @margarettelinc1

When Elizabeth I died, noblemen had to make a huge show of her funeral in order to prep people for the accession of James I (James VI of Scotland).

With modern eyes, it’s cool to see how critical the “show” was to a government’s legitimacy. Government meaning the king, obv.

This wasn’t some unnecessary extravagance. Shutting the city down for a day or two for the funeral procession was a critical part of establishing the legitimacy of the next king.

Oh and by the way, yes James II really was a horrendously bad king.

Read 18 tweets
25 Mar
1/ Musings about variance in trading, in sports, and in life.

A thread.
2/ Why does poker get played for big $ but chess (mostly) doesn’t?

Because of variance.

In chess, if you’re rated 1800 ELO and you’re playing someone rated 2000, you pretty much know exactly your P(win) and P(tie). (It’s 15% and 19%, go check).
3/ There’s no sense in betting for two reasons:

- A wide spread of ability directly creates wide spread in outcome. A 2400 will NEVER lose to an 1800.
- All these probs are pretty much known. $ gets traded when people disagree about probs. No such thing exists in chess.
Read 21 tweets
10 Mar
1/ Quick mini-thread on a useful way to think about risk based on a recent discussion I had.

"If I have an opinion about lithium price, should I trade $LIT?"
2/ Almost definitely not. $LIT is a very weird monster. Many ETFs that target second-tier commodities are equally weird. Why?

Because $LIT includes both producers and consumers.
3/ High Li prices are good for producers, bad for consumers. So what's the effect on $LIT?

It depends on the balance of producers and consumers.
Read 10 tweets
22 Feb
1/ Taking a break from options to talk about a general trading concept.

Intended audience: people who are getting into trading, people have read a bunch of “experts” and came away even more confused, etc.

A thread…
2/ I thought about putting this in the book, but in the end I decided it’s too technical for a general audience. The one sentence claim I make here is:

“Trading is the wrong term for what trading is. Trading is more accurately called positioning.”
3/ What do I mean by this?

Retail traders seem to obsess about “entries” and “exits”. But in my career as a trader, I *never thought about entries and exits. At least, not explicitly.
Read 34 tweets
8 Feb
1/ Welcome to Options 201! You might remember me from such threads as Options 101:

Or What’s The Deal With Having Edge?

2/ I wasn’t sure if I should keep going. We’re getting closer to “how to make money in options,” and I think public sources of such claims are always and invariably scams.

But I’ve decided this is still more “useful information to know” than trading edge, so it should be ok.
3/ Let’s start by talking about time. Time is surprisingly hard to think about. But why do we care?

Well, as we said in Options 101, we want to convert our options prices into vols because of #reasons. And to do so, you need to know t_exp.
Read 62 tweets

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