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 B.CIO at ReSolve Asset Management

"@ReformedTrader has put together an awesome series of Twitter “moments” that highlight research on risk premia, style premia, seasonality, and craftsmanship. Dig in." Corey H.CIO at Newfound Research

"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 C., 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 C.managing partner at Validea Capital Management

Strategies

I stay abreast of current research via the FinTwit community and maintain lists of the more interesting developments below (organized by topic):
  1. Benchmarks
  2. Value, Long-Term Reversal, Low Volatility, and Quality
  3. Trend-Following, Cross-Sectional Momentum, and Carry
  4. Volatility Risk Premium
  5. Calendar and Diagonal Spreads
  6. Real Estate, Commodities, and Bonds
  7. Seasonality, Sentiment, Macro, and Short-Term Mean Reversion
  8. Craftsmanship Alpha
  9. Tax Alpha
  10. Sarlacc Pits (things to avoid buying)
  11. Market Psychology and Bubbles
Warren Buffett figured a lot of this out decades before everyone else did. Most of Buffett's returns can be explained using the strategies listed above.

Students interview for internship positions when they are in college. I maintain a list of opportunities at the link below. There are also internship opportunities at Morgan Stanley for students who have demonstrated a strong prior interest in finance.


Please feel free to find me on Twitter or contact me through the form at the bottom of this page.

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!

Your Name :


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Why are you interested in quantitative finance, and what are your eventual goals? (required)


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