alvinjamur @alvinjamur
Founder/QuantPM of SAC Synapse - 1st eq stat arb @SAC (‘93-‘04). Ex Founder/CoCIO of Katonah Capital (2014-19). Launching a revolution in stealth… alvinjamur.com/bio New York, NY Joined July 2007-
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llama3s performance over other larger parametrized models is a great example of “smaller curated datasets” triumph “very large un curated datasets”. On a local agentic query system with custom func calling, we beat gpt4 & claude family. Delight!
A few people have PMd and asked me about agents & prompting. My suggestion is to ditch the language bound shenanigans with prompting. Just adopt DSPy. Take this short course for $10 : lycee.ai on DSPy and it’ll all click.
Just wait until agents making fin datasets gets widely applied. Sample entropy and information complexity will increase - it’ll be bot versus bot in this biz.
If u think about “When a measure becomes a target, it ceases to be a good measure.” (Goodhart’s law) then you’ve also thought about the perilous in trading systems…
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Before thinking of concocting a “forecast” for an asset, u need to be able to adequately describe, in a principled way, where the asset is….
RIP Monte Carlo @GoogleDeepMind releases the code for Conformal Monte Carlo. github.com/google-deepmin… #conformalprediction
Three logicians walk into a bar. Waitress: “Does everyone want beer?” 1st Logician: “I don’t know” 2nd Logician: “I don’t know” 3rd Logician: “Yes!”
All systems we measure show some hidden away lower rank structure, hence Data Science. Low dimensional behavior in high dimensional systems is a common thread. If this was not the case, our lives today would not be as tractable as it is.
With #Billions back for one more season, we're sure a few of you are looking at Taylor Mason Carb thinking "what actually is the #QuantResearch process?". Let's break it down for you in a thread! #QFDebunked #QuantFinance 1/13
Ocean waves simulation with Fast Fourier transform youtu.be/kGEqaX4Y4bQ?si… via @YouTube
When you lose information, you generate entropy, which generates heat. So when you feel cold, forget what you know randomly, then you will feel warm!! 😀😎
cephalopod @macrocephalopod
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183 Followers 378 Following PhD student - i like random matrices, integrable probability, and 2d statistical physics. hobbyist in math finance - coach of @OutliersOWBrokenLLama @brokenllama1
0 Followers 56 Followingcephalopod @macrocephalopod
45K Followers 571 Following At Octopus Capital our passion is providing best-in-class liquidity in the marketplace of ideasStat Arb @quant_arb
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16K Followers 348 Following On my fourth pseudo-PhD. Moving bits around so that people can trust other people. Traded for a while and wrote a book about it.Euan Sinclair @SinclairEuan
27K Followers 445 Following vol trader, opinions are my own and may or may not be reflective of positions i hold. nothing should be taken as financial advice.ltrd @ltrd_
13K Followers 197 Following In the constant process of mastering doing simple things right. HFT, Low-Latency, Algorithmic Trading.elPythonQuantador @ThePythonQuant
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Consistent exercise solves so many issues in one’s life.
Three logicians walk into a bar. Waitress: “Does everyone want beer?” 1st Logician: “I don’t know” 2nd Logician: “I don’t know” 3rd Logician: “Yes!”
@PtrPomorski Saying UMAP is slower than PCA is "the glass is half-empty" view haha. The more positive take is: UMAP is much faster than T-SNE!
Will: Of course that's your contention. You're a first-year option trader; you just got finished reading some sub-Reddit, probably. You're gonna be convinced selling vol is a strategy 'till next month when you find a copy of Dynamic Hedging. Then you're going to be talking about…
ChatGPT does Good Will Hunting. Clark: No, no, no, no! There's no problem here. I was just hoping you might give me some insight into the evolution of order flow trading. My contention is that prior to the prominence of order flow analysis, the economic modalities in the…
This is basic statistics, but I feel like it's not well understood among non-statisticians. In stats, we take into account the probability of the data we collected 'being a certain way'; skewed, unrepresentative, different, incomplete, etc. Consider the following scenario:
@alvinjamur @StevenACohen2 It’s always a red flag when there’s an error in the data and instead of fixing the generation process or blacklisting it, the quant is like “oh I’ll just magic the aberration away” Same with when you ask them for a specific error and instead they point to an aggregation
Neat article on data labelling, showing caveats of simpler methods and how to overcome them: quantdare.com/4-simple-ways-…. Alternative way is to go ahead with the regime-based method proposed by our paper: arxiv.org/pdf/2208.11574…
@bloopac It is a forecast that is predicting very bad forward equity index returns. It is also a shit forecast. Hope this helps 🫡
Another deep learning breakthrough: Deep TDA, a new algorithm using self-supervised learning, overcomes the limitations of traditional dimensionality reduction algorithms. t-SNE and UMAP have long been the favorites. Deep TDA might change that forever. Here are the details:
Finally, another substack, this time on data fetching, pre-processing, and feature generation for predictive tasks involving US equities. I tried to make it as to the point as possible; comments are welcome! piotrpomorski.substack.com/p/data-pre-pro…
You know when you walk into a casino and see all the blinking lights and bells going off? That's exactly what you're getting sold with a specific platform. Speaking facts to retail here.
@alvinjamur Temporal fusion transformers? If so I've been tinkering with some for a bit to mixed success.
When smoke diffuses from the tip of a cigarette, each particle takes a different path, together they are doing all the Monte Carlo paths in parallel.
Excellent talk by Stuart Russell: youtube.com/watch?v=ISkAki… In the first half, he argues current large DL models, albeit impressive, lack the representations needed to eventually yield general intelligence.
@Sahibtrade “AI trading strategy” is a really a thing that exists only in marketing materials and teenagers larping in Twitter threads.