September 1, 2018

Introduction to Quantitative Finance

I have a number of students interested in quantitative trading as a career, so I've started a program to introduce them to basic research in the field.

We use a curriculum which I've compiled from thirteen years of experience reading academic research and four years working as a quant. I've also been a contributing member of the International Society of Value Investors since 2011.

Take a look at what others in the finance community are saying about my work:

"Just noticed that @ReformedTrader is bizarrely under-followed. He's curated, quoted, pasted, summarized, analyzed, organized and synthesized well over a hundred papers and articles on academic finance. Honestly, wtf are y'all reading if you aren't following his threads?" Adam ButlerCIO at ReSolve Asset Management (here as well)

"@ReformedTrader has put together an awesome series of Twitter “moments” that highlight research on risk premia, style premia, seasonality, and craftsmanship. Dig in." Corey HoffsteinCIO at Newfound Research and a member of Investopedia's Top 100 in finance

"Gotta hand it to @ReformedTrader for his consistency in posting quality quant finance research links. Everyone who is interested in quant finance should follow him. Hidden gem." Pravit Chintawongvanich, Wells Fargo equity derivatives strategist

"Wow, good stuff. I didn't even know the Moments could be used like this. Really great reference and shows the power of info sharing and knowledge building on Twitter." Justin Carbonneaumanaging partner at Validea Capital Management

"Read this thread and become an expert on the quality factor. Fantastic work by
@ReformedTrader." Chris Cain, Quantitative Researcher at Connors Research and author of The Alpha Formula

"Wow, Darren knows the paper way better than I do now." Cliff Asness, co-founder of AQR Capital Management


I've put together a set of classes that start students off with a basic introduction to finance (10th-grade reading level) and ramps up to papers published by academics and practitioners in the field:

Warren Buffett figured a lot of this out decades before everyone else did. Most of Buffett's returns can be explained using the strategies in the link above.

Here's a list of job and internship opportunities. You can also visit Kristen Fang's Web site if you're interested in investment banking.

In the meantime, here are some fun facts to whet your appetite.

S&P Global, of S&P 500 fame, published a paper stating that its own index has historically been beaten by randomly picking stocks.

Researchers had a computer form 10 million randomly picked stock portfolios using historical data from 1968 to 2011 and found that 99.9% of them outperformed the S&P 500. They then combined all of the randomly picked portfolios, forming an equally weighted index.

Over the 15-year period from 1999 to 2014, which included two stock market crashes, the equally weighted portfolio compounded at 9.1% per year vs. 4.5% for the S&P 500 for an annualized out-performance of 4.6%.

Most active managers didn't beat the market even though it was theoretically easy to do so. Even the major pension funds, which spend millions of dollars on consultants, didn't do it. Simple models outperform expert intuition.

Trading successfully involves research and disciplined adherence to rule-based strategies.

If you're interested in learning more, please use the form below to contact me. I look forward to meeting you!

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