How fast do quantitative researchers code?

Question is aimed more at quantitative researchers not data engineers. How long does it take you to go from idea to working algorithm / live trading?

How fast can you write the code for a machine learning model?
 

How do you refine your models?

10 Comments
 

Thanks for your response, I appreciate it. It seems like that they implement strategies from the research team that have clear P/L targets? Or do you believe it's just a lot of if/else statements?

 

Not a lot of if else statments. Most of it is data manipulation (pd, np, internal stuff, etc), and then modeling (sklearn, tf, pick-your-generic-library)

"one for the money two for the better green 3 4-methylenedioxymethamphetamine" - M.F. Doom
 

It depends on the complexity of your models. Generalizing somewhat, slower strategies (and also those with less assets) tend to be simpler and require less coding (and signals can be as little as one line), whereas higher frequency/breath strategies could potentially get more complex.

 

It again highly varies, to actually code up a very simple model where you know exactly what needs to be done and how it needs to be done (this rarely happens) could take 10 minutes. But do you need to transform/clean the dataset you're working on? Run some summary stats and plot the data so you understand it? Understand its relationship to other variables? Try a couple of variations (or more) of similar ideas? I'd say in a more fast-paced environment, a particular signal can be worked on for several days up to a couple of weeks. This would be intermittently working, plus getting feedback from others, refining, etc. In a slower, less demanding environment you can potentially work on the same model for several months. It really depends, but I think those broad generalizations are reasonable.

In general, quant researchers need to be functional in coding- not great.

 

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