(1) create covariance matrix for a basket of assets (let's assume equities) (2) calculate the eigenvectors and eigenvalues (3) try to forecast the behavior of the eigenvectors of the largest eigenvalues, and do long-short basket trades to trade these eigenvectors.
Anyone else want to add/subtract from this?
| +12 | RBC S&T 27' | 15 | 5h |
| +10 | Natural Gas Analyst Path to Trader | 1 | 15m |
| +6 | CRE to S&T lateral opportunities | 4 | 1d |
| +6 | Exiting Sell Side FI Trading | 1 | 1d |
| +6 | EM Resources / Study Material | 0 | 5h |
| +3 | S&T Outlook and Pivot from Buy Side | 1 | 1d |
Career Resources
Get instant access to lessons taught by experienced private equity pros and bulge bracket investment bankers including financial statement modeling, DCF, M&A, LBO, Comps and Excel Modeling.
one of my professors had a strong suspicion on them implementing a large scale Hidden Markov Model to infer macro variables. meh, what do i know.
yea, ur prof prob right on that. rentech does use "hidden" HMMs to try and figure the prob of a given market state depending on underlying state variables, but the state variables are raw financial variables (e.g.rates, or change rates), but a small # of finance-related HMMs try and figure the prob of a given market state by looking at staate variable that are derived from an an HMM process
anyone got opinions on applying learning techniques to finance (e.g. gaussian processes, linear dynamic systems)?
"I'm a fly Malcolm X, buy any jeans necessary."
when i think gaussian processes and linear dynamic systems i automatically think of T.I. and his music...great picture
is that what you're thinking of? they would never assume constant/linear matrices. prolly a combo of stochastic processes with pca as a lower bound.
i remember reading that they hire phds in many different things, such as linguists to analyze news announcements. i think they have a lot of ideas in their medallion fund.
standard quant model is pretty much a multi-factor model; i'm sure they use that to an extent.
Are we talking specifically about their medallion fund? I wonder who they PB with
"I'm a fly Malcolm X, buy any jeans necessary."
Perspiciatis corrupti porro minus assumenda. Quos rerum aliquam aut sapiente enim deserunt non ab. Esse suscipit natus ratione.
Sint debitis suscipit et magni et minima. Quibusdam omnis vel quisquam. Accusamus aut fugit ut eius sit dolores similique quia. Minima repellendus quia ex et.
Ea ab numquam aut aliquid numquam cumque est. Dolorem illum dolore dignissimos impedit autem aliquid mollitia. Aliquid voluptas temporibus ut quasi suscipit quo consequuntur. Voluptatibus reiciendis cupiditate officia possimus perspiciatis animi quas. Ut deleniti dolorum at nemo ut accusantium impedit at.
See All Comments - 100% Free
WSO depends on everyone being able to pitch in when they know something. Unlock with your email and get bonus: 6 financial modeling lessons free ($199 value)
or Unlock with your social account...