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volatilityMan
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Adding CS to do algo and ML trading

January 11th, 2020, 12:56 pm

Hi guys 

I have a question regarding adding CS to an already master's in economics. The overall goal is to do trading (commodities, stocks etc) based on algos and ML.  

I think that the trading industry still relies *too much* on gut feeling and experience where people who graduated with a BA from arts or some business administration represent the highest share of the traders. 

The question is simply if it would be a good additional asset to add a BA in CS or something similar. 
Also, do you have any good advice on further steps to take when wanting to do algo-trading? 

Thanks. 
 
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frolloos
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Re: Adding CS to do algo and ML trading

January 11th, 2020, 1:49 pm

"I think that the trading industry still relies *too much* on gut feeling and experience where people who graduated with a BA from arts or some business administration represent the highest share of the traders. "

I don't think this is true (anymore). More and more traders are required to be able to code in Python,    have a quantitative degree, and speak French. 

So yes, a CS degree or courses in CS, and basic French language skills is definitely helpful if not essential.

On ML, specifically appled to finance, I think it's a sexy word for GARCH++. But I am sure I am an outlier in my opinion regarding ML applied to finance. 
 
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Cuchulainn
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Re: Adding CS to do algo and ML trading

January 11th, 2020, 2:46 pm

Machine Leaning is a sales/marketing name for Statistical Learning. It has been hijacked and morphed into what AI wants it to mean. In mathematics this would be tantamount to blasphemy and heresy.

See also

https://forum.wilmott.com/viewtopic.php?f=11&t=102097
Step over the gap, not into it. Watch the space between platform and train.
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frolloos
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Re: Adding CS to do algo and ML trading

January 11th, 2020, 3:05 pm

@volatilityMan: sorry, I am going off-topic now.

@Cuch: couldn't help noticing the R. van Gulik quote. The Robert van Gulik who studied physics at Leiden Uni? If so, give him my regards if you speak to him again, although I don't think he remembers me. He knew his Feynman diagrams well, smart guy.
 
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Cuchulainn
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Re: Adding CS to do algo and ML trading

January 11th, 2020, 7:25 pm

Hi Frolloos, I don't know him personally but I liked the quote. Many software (and other) projects start at the left (WRONG) end, leading to creeping featuritis, budget overruns and other horror shows.

Image
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bearish
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Re: Adding CS to do algo and ML trading

January 11th, 2020, 7:31 pm

I'll admit that this is not exactly my area of expertise, but if you already have a master's degree it feels a little awkward to start another undergraduate program. The fraction of the material you would be studying that is directly useful in a trading career would also, I suspect, be rather tiny. A much more expedient approach would be to take some online classes and tutorials and start programming, not necessarily in that order. The fact that the language of choice for most of what you describe would be Python, R or Julia meaningfully lowers the bar for theoretical CS knowledge relative to a "write everything from scratch" C++ environment. Now deploying flame shield...
 
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Cuchulainn
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Re: Adding CS to do algo and ML trading

January 11th, 2020, 8:20 pm

You called, Sir?

IMHO learn C++ and every other language follows:

I would put my hand in the fire to endorse the Baruch C++ courses, its setup and TAs. (disclaimer: I plead guilty of origination).

https://quantnet.com/courses/

C++ is the best investment for a young fella or gal. No joking.
Step over the gap, not into it. Watch the space between platform and train.
http://www.datasimfinancial.com
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volatilityMan
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Re: Adding CS to do algo and ML trading

January 12th, 2020, 2:39 pm

The reason why I consider adding say BA in CS is simply because one gets some decent skills which cannot be taught otherwise. In particular everything from scraping and developing webpages, working with databases as SQL not to mention working with algorithms (and time optimization routines which speed up ones algorithm) together with neural networks etc. All these courses give a thorough understanding (yet often very theoretical).
That was my initial thoughts at least. 
The C++ part is something I definetly have to delevop. 

Also, I agree with the ML marketing. Always make me think of this great meme 
https://towardsdatascience.com/no-machine-learning-is-not-just-glorified-statistics-26d3952234e3 
 
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Alan
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Re: Adding CS to do algo and ML trading

January 14th, 2020, 8:53 pm

I think that you just want to stay in school -- not that there's anything wrong with that. Anyway, if you do, go up, not down. Maybe some program like this. Even if you fail to complete your PhD, you can walk away with a Masters in CS. If you do complete your PhD, you'll be glad you did, and much better credentialed for whatever. In addition, you can still date the undergraduate women. :D 
 
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volatilityMan
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Re: Adding CS to do algo and ML trading

January 15th, 2020, 2:14 pm

I think that you just want to stay in school -- not that there's anything wrong with that. Anyway, if you do, go up, not down. Maybe some program like this. Even if you fail to complete your PhD, you can walk away with a Masters in CS. If you do complete your PhD, you'll be glad you did, and much better credentialed for whatever. In addition, you can still date the undergraduate women. :D 
Hi Alan 
That's not the case. Going back to school would mean no salary, living off savings, paying for extra education plus tons of other drawbacks. The real reason is simply looking forward and expanding the skill set which cannot be taught/learned at math or economics department. 

On the other hand, I don't have any professional experience with algo trading, statistical learning (ML) etc. but that's what I want to work with eventually -- the path so to speak. Most of you guys have worked with various tasks and different companies. So you know what the companies that make money do and what the markets offer (in terms of profit opportunities, mispricing, arbitrage, HFT, risk/reward "bets" etc.)
 
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Alan
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Re: Adding CS to do algo and ML trading

January 15th, 2020, 4:22 pm


Hi Alan 
That's not the case. Going back to school would mean no salary, living off savings, paying for extra education plus tons of other drawbacks. The real reason is simply looking forward and expanding the skill set which cannot be taught/learned at math or economics department. 

On the other hand, I don't have any professional experience with algo trading, statistical learning (ML) etc. but that's what I want to work with eventually -- the path so to speak. Most of you guys have worked with various tasks and different companies. So you know what the companies that make money do and what the markets offer (in terms of profit opportunities, mispricing, arbitrage, HFT, risk/reward "bets" etc.)

Fair enough --I was mostly teasing. I still think you need to try for a PhD. In your career path, you will have to make many judgments about the credibility of  companies, people, and strategies. 99% of what you will encounter will be smoke and mirrors. A PhD, let's say in statistics or econometrics, will at least give you more tools for navigating the Wall Street fog. Good luck! 
 
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Cuchulainn
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Re: Adding CS to do algo and ML trading

January 15th, 2020, 5:55 pm

The real reason is simply looking forward and expanding the skill set which cannot be taught/learned at math or economics department. 

Most things in life are learned outside the ivory tower.
There are lots of Plan B, e.g. evening courses, self-study, C++, Coursera ML etc. The current generation never had it so good. 
Last edited by Cuchulainn on January 15th, 2020, 6:00 pm, edited 1 time in total.
Step over the gap, not into it. Watch the space between platform and train.
http://www.datasimfinancial.com
http://www.datasim.nl
 
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Cuchulainn
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Re: Adding CS to do algo and ML trading

January 15th, 2020, 5:58 pm

I think that you just want to stay in school -- not that there's anything wrong with that. Anyway, if you do, go up, not down. Maybe some program like this. Even if you fail to complete your PhD, you can walk away with a Masters in CS. If you do complete your PhD, you'll be glad you did, and much better credentialed for whatever. In addition, you can still date the undergraduate women. :D 
And PhDs are allowed to drink coffee and hob-nob with the Fellows  in the Senior Common Room. 11 am.
Step over the gap, not into it. Watch the space between platform and train.
http://www.datasimfinancial.com
http://www.datasim.nl
 
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Alan
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Joined: December 19th, 2001, 4:01 am
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Re: Adding CS to do algo and ML trading

January 15th, 2020, 8:13 pm

I think that you just want to stay in school -- not that there's anything wrong with that. Anyway, if you do, go up, not down. Maybe some program like this. Even if you fail to complete your PhD, you can walk away with a Masters in CS. If you do complete your PhD, you'll be glad you did, and much better credentialed for whatever. In addition, you can still date the undergraduate women. :D 
And PhDs are allowed to drink coffee and hob-nob with the Fellows  in the Senior Common Room. 11 am.
Sure, and some people will call you "doctor"  -- it's all good!
 
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volatilityMan
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Re: Adding CS to do algo and ML trading

January 16th, 2020, 7:09 pm

Well... 
Dating undergrads >> called doctor

Sometimes the problem lies in too many options as it is currently. Also, if I were in a algo trader position I would probably be better at filtering the noise of possibilities and cut to the core. 

I checked out Coursera and Udemy last night. There are some nice courses on deep learning, neural networks, C++, ML etc... 

My goal is this to begin with: Get access to an API, fetch data and build algos. In order to do this you advise me to get hold on C++ first, correct? 

And thank you for your replies - I really appreciate it.  
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