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BlackSwan Profile picture
BlackSwan
@BlackSwan_ptf
jr equity vol mm. u are as good as ur last trade. tweets reflect only my ideas and are not linked to any firm. languages: fortran english greek
Jun 26, 2023 • 11 tweets • 3 min read
I found this link on acing quant interviews to be extremely helpful.



Below, you'll find a slightly modified summary (including my experience) of what is mentioned, including preparation, interview topics, and a few firms. blog.samarthgoel.com/quant-intervie…
Image PREPARATION:

1 - Mental math -> A good resource to practice your mental math skills is ZetaMac: (try to score above 40).

For YouTube videos, check out MathOGenius: arithmetic.zetamac.com
Jun 13, 2023 • 10 tweets • 3 min read
A coincise thread about Momentum strategies.

Moskowitz, was one of the first to comprehensively study these strategies in the academic literature.
Later Hurst et al provide statistical evidence that CTA funds do employ such strategies.
Read below to see some improvements. Image Time-series momo. strategies utilize a straightforward momo-based trading rule, usually based on the sign of the past 12-month return, to establish long and short positions.

The weighting scheme for the portfolio assigns weights that are inversely proportional to realized vola
Jun 11, 2023 • 19 tweets • 5 min read
This thread shows how to formulate an RL problem and how to apply it to trading, which is currently the subject I am focusing on this summer.
Let's delve into it and please leave your comments
1/n Image RL stands as the third branch of the machine learning paradigm, alongside Supervised and Unsupervised Learning. In contrast to Supervised and Unsupervised Learning, RL follows a distinct approach, emphasizing the interaction between an agent and its env to maximize a reward
2/n Image
Jun 9, 2023 • 19 tweets • 4 min read
An overview of computational optimization techniques and how to use them in trading.

If you want to learn about mathematical optimization techniques then head over to Vertox'sthread: twitter.com/Vertox_DF

1/n Image Computational optimization is present across various engineering and financial applications.
In this thread I’ll provide an overview of comp. optimization, covering commonly employed optimization algorithms and the selection of an appropriate algorithm for a specific problem.
2/n
May 4, 2023 • 6 tweets • 1 min read
On pairs trading, a short thread about the Copula approach.

[Vidyamurthy, 2004;
Gatev et al, 2006;
Do and Faff, 2010;
Qi Liew, 2013] Image 1/
Pairs trading has limitations. It assumes linear association and relies on correlation coefficients or cointegration for dependency measures.
Financial data rarely follow a normal distribution, making correlation and cointegration insufficient for accurate predictions.