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dragonfly2
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Joined: August 19th, 2015, 10:16 am

What sort of maths is needed for algorithmic execution quant developer?

August 19th, 2015, 4:40 pm

Can I get some guidelines on what sort of maths is required for a quant developer primarily focused on algo execution? To be even more specific, it's not building the algo execution platform rather it's the developer who will implement the execution algorithm within the internal execution platform.I guess for such a developer it's more important to understand the execution algorithm in order to implement it correctly and efficiently using whatever required language. Hence such a developer has to have some maths capability. I wonder what sort of maths is needed for such a developer? Is it probability? statistics? stochastic analysis? Thanks.
 
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acastaldo
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Joined: October 11th, 2002, 11:24 pm

What sort of maths is needed for algorithmic execution quant developer?

August 19th, 2015, 6:50 pm

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Last edited by acastaldo on August 18th, 2015, 10:00 pm, edited 1 time in total.
 
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dragonfly2
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What sort of maths is needed for algorithmic execution quant developer?

August 20th, 2015, 7:49 am

deleted?why?
 
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Samsaveel
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Joined: April 20th, 2008, 5:47 am

What sort of maths is needed for algorithmic execution quant developer?

August 24th, 2015, 3:50 am

1-Market Intuition----> good luck with that.2-a mathematical model to mimic a very complex reality (all the mathematical tools you can fathom )3-a coding language (c# ,c++,MatLab,etc...)
 
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DominicConnor
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What sort of maths is needed for algorithmic execution quant developer?

August 24th, 2015, 9:35 am

Algo exection is heavily driven by market impact modelling, indeed some strategies are based pretty much wholly on this.Jim Gatheral and Dan diBartolomeo have written good stuff on this, search for them and you will see where any holes in your current maths need to be plugged
 
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dragonfly2
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What sort of maths is needed for algorithmic execution quant developer?

August 24th, 2015, 9:44 am

QuoteOriginally posted by: DominicConnorAlgo exection is heavily driven by market impact modelling, indeed some strategies are based pretty much wholly on this.Jim Gatheral and Dan diBartolomeo have written good stuff on this, search for them and you will see where any holes in your current maths need to be pluggedThanks for this. Seems very useful indeed!
 
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hamandeggs
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What sort of maths is needed for algorithmic execution quant developer?

August 25th, 2015, 5:55 am

Agree with Dominic. Most (decent) execution algos are built targeting specific benchmarks against which to measure market impact. Almgren and Chriss pushed this subject area forward in this paper. If you follow the maths in this you are going the in right direction. Other useful sources can be found by reference-searching for Almgren.
 
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quartz
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Joined: June 28th, 2005, 12:33 pm

What sort of maths is needed for algorithmic execution quant developer?

August 25th, 2015, 1:41 pm

QuoteOriginally posted by: hamandeggsAgree with Dominic. Most (decent) execution algos are built targeting specific benchmarks against which to measure market impact. Almgren and Chriss pushed this subject area forward in this paper. If you follow the maths in this you are going the in right direction. Other useful sources can be found by reference-searching for Almgren.These are definitely prerequisites, but are far from enough anymore to be competitive. They already stand to execution like Makowitz stands to portfolio management. There are vendors of impact models, benchmarks, TCA&c, just wade through their (grin) bullet points and prepare to recognize half of them, noticing how they're ahead of academia and remember how they're lagging the "serious" players.Exciting field but you won't find many mentors in the wild (there are 3-4 books trying to put order in the mess, but they fall short of being comprehensive and up to date). And everything is merging, you need to integrate a good transaction cost analysis, a risk management framework, merge investment & execution, joint portfolio execution, in short prepare to see the focus unfocus :-)
 
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Anthis
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Joined: October 22nd, 2001, 10:06 am

What sort of maths is needed for algorithmic execution quant developer?

August 25th, 2015, 10:20 pm

QuoteOriginally posted by: quartzQuoteOriginally posted by: hamandeggsAgree with Dominic. Most (decent) execution algos are built targeting specific benchmarks against which to measure market impact. Almgren and Chriss pushed this subject area forward in this paper. If you follow the maths in this you are going the in right direction. Other useful sources can be found by reference-searching for Almgren.These are definitely prerequisites, but are far from enough anymore to be competitive. They already stand to execution like Makowitz stands to portfolio management. There are vendors of impact models, benchmarks, TCA&c, just wade through their (grin) bullet points and prepare to recognize half of them, noticing how they're ahead of academia and remember how they're lagging the "serious" players.Exciting field but you won't find many mentors in the wild (there are 3-4 books trying to put order in the mess, but they fall short of being comprehensive and up to date). And everything is merging, you need to integrate a good transaction cost analysis, a risk management framework, merge investment & execution, joint portfolio execution, in short prepare to see the focus unfocus :-)Cant agree more.