Introduction to Stochastic Calculus & Application in Finance

咁睇唔開take R4005同R4007....
淨係一個R4001都夠收皮

CFA 無讚入去quan 野, 算啦

10年前讀過lm

勇者無懼
呢兩科難我唔否認
但係如果本身數底夠嘅話
其實又唔係好似其他人口中所講咁恐怖

啲measurability issue好閪煩

有本書叫An Informal Introduction to Stochastic Calculus with Applications好似幾正, 教大家點計, 又會講啲重要定義同埋定理.

I can email you my phone number

巴打，想問下有識唔識high frequency data 既野呀？

我唔識high frequency trading
呢度咁多人勁過我應該大把人答到你

不過照我理解 其實high frequency trading只係用algorithm去處理非常大量嘅financial data
從而detect一啲本來trader察覺唔到嘅arbitrage opportunities? 例如statistical arbitrage嗰啲?

因為arbitrage維持嘅時間本來就非常短 所以先需要用algorithm去做high speed/frequency trading
Investment horizon亦都因為要exploit arbitrage而縮到非常短

但係啲algorithm點寫我就真係答你唔到

https://www.google.com.hk/url?sa=t&source=web&rct=j&url=http://www.ece.ust.hk/~palomar/Publications_files/2016/Feng%26Palomar-FnT2016.pdf&ved=2ahUKEwjF9_uQ1pfeAhUQIIgKHVlHAUUQFjADegQIARAB&usg=AOvVaw0AlfMt0enlhU3thfYBWlSC

可以睇下 DSP 點用係 finance, prof 話 ibanks 每年都請好多 DSP 人。

上面有位巴打post過本書出黎
最尾statistical arbitrage嗰個section其實應該都關事
不過呢本係signal processing in finance所以啲數都有返咁上下程度

巴打唔係講笑 我今個sem 最近開始學呢d 野 睇左你個d introduction 再聽prof 講好好多

g持樓主

As far as I know many high frequency trading strategies simply take advantage of the speed. The HFT firms are usually situated in close proximity of the exchange and paid for priority access. For example, google “spoofing” for HFT, it’s an basic example that how HFT firms use speed as their advantage.

Working for HFT usually requires less mathematics, it has more emphasis on programming I think.

Thanks for sharing, I don’t know but I am doubt about the less mathematics skill statements since I think there are a lot of backtesting and you will have to adjust a lot parameters of your models. Again I don’t know much about HFT I just found it interesting. As You said the firms are situation Closely to the exchange but in Hong King it seem not that profitable since there are levy per transaction but there are still hft firm in HK applying the strategy across different markets.
Thanks again for your sharing

That’s why there seem to be more hft firms in Singapore than in HK.

When I say it requires less maths, I was comparing it to other quant jobs, such as exotic pricing quants. Quant researchers at hft firms don’t use much maths compare to other quants. Instead their works lean more towards statistics or machine learning.

I can email you my phone number

hey, you can send it to slev1234@yahoo.com

i think they are totally different fields.

we use advanced math tools in pricing exotics. and hft maybe using very complex statistical tools instead (i dont know)

Agree, hft firms are on the buy side so I would expect it to be quite different.

Btw I’ve sent you an email.

CFA 有邊類quant?

得d基本stat

心諗有quant 認受性咪勁過cpa

邊類型既工作會接觸到？

CPAs are accountants. They’re totally different , quants are not professionals while CPAs are.

But quants earn way a lot than CPAs