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KackToodles
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Joined: August 28th, 2005, 10:46 pm

hitting the books, but what books?

February 24th, 2009, 7:35 am

QuoteOriginally posted by: QuantVaderYour argument would have to come from having a fixed global capital and this is true only for short periods of time. Economic fluctuations change the size of net alpha over time, but having long-term economic (positive) growth creates the possibility of having net positive alpha since we have more wealth and more capital. Do you know what "alpha" means, man?! Alpha is deviation of returns from average. By definition, deviations from the AVERAGE have to be ZERO. For one trader to have positive alpha, somebody has to have negative alpha. For one poker player to win money, another poker player has to lose money.
 
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QuantVader
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Joined: July 10th, 2008, 2:19 pm

hitting the books, but what books?

February 25th, 2009, 1:59 pm

Yes, that is what alpha roughly is. But you are explaining it as a poker game where there is a number of chips to spread across the players. They all get together, they play, the game finishes and then they go home. That is, they all have the same time horizons. And I agree that if we put it this way net alpha of course adds up to zero. Even I can see that What I am trying to argue is that there is potentially a way of getting net positive alpha on the *long-run*. Sort of like an inverse Ponzi scheme.
Last edited by QuantVader on February 24th, 2009, 11:00 pm, edited 1 time in total.
 
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QuantVader
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hitting the books, but what books?

February 25th, 2009, 2:21 pm

Actually there was a document published a couple of years ago by Goldman Sachs about this but I cannot seem to find it on internet. I'll look for it later.
 
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KackToodles
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Joined: August 28th, 2005, 10:46 pm

hitting the books, but what books?

February 26th, 2009, 5:30 am

QuoteOriginally posted by: QuantVaderWhat I am trying to argue is that there is potentially a way of getting net positive alpha on the *long-run*. Even if you can generate 2% point of "bonus alpha" in the long run, there is no more alpha left after all the quants and developers remove their fees and bonuses. In the long run, wall street brokers and asset managers get rich at the expense of the naive investors, who are overpaying for their shifty unreliable vanishing "moving target" alphas. Yesterday it was Internet alpha. Tomorrow it will be emerging markets alpha or carbon trading alpha. Anything the brokers can dream up! Chasing alpha is an illogical game -- the only sure winner is the sales dude taking home the bonus!
Last edited by KackToodles on February 25th, 2009, 11:00 pm, edited 1 time in total.
 
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QuantVader
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Joined: July 10th, 2008, 2:19 pm

hitting the books, but what books?

February 26th, 2009, 8:59 am

 
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deepvalue
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Joined: April 25th, 2007, 6:08 am

hitting the books, but what books?

March 1st, 2009, 7:55 am

QuoteOriginally posted by: QuantVaderhttp://cisdm.som.umass.edu/resources/pdffiles/2005/Presentation_Nov_4.pdf this is wishful thinking. the logic is murky. Somehow the numbers do not add up to zero if there is growth? But grow is beta, not alpha.
 
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jmskny
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hitting the books, but what books?

November 23rd, 2010, 5:39 pm

You can check out some of these books. For high frequency market making look at machine learning & time series and programming. For mid frequency quant trading look at portfolio management, optimisation, time series. Time Series Analysis: With Applications in R (Springer Texts in Statistics)Data Structures and Algorithms in C++, Second EditionNumerical Recipes Bayesian Methods for Data AnalysisData Mining with RActive Portfolio ManagementThe Econometrics of Sequential Trade Models: Theory and Applications Using High Frequency DataHigh Probability TradingA good list @ http://quantyjobs.blogspot.com/2010/10/ ... r-pre.html