What is the most troublesome thing about quantitative trading?

deeds · Post by **deeds** » Wed Aug 15, 2018 1:08 pm

@Maggette, it's in @RubyYao's signature, from the first post.

EDIT: and it's the other end of the 'value chain'. the professional end.

gmetric_Flow · Post by **gmetric_Flow** » Wed Aug 15, 2018 3:28 pm

@doomanx- I assume you are joking (since it's certainly not "simple" to compete with top shops as an individual investor), but in the off chance that you are not, can you tell me what the Reverse K-S test (assuming familiarity with standard K-S) is?

anonq · Post by **anonq** » Wed Aug 15, 2018 3:33 pm

All the technology stuff is really easy. The hard part is finding alpha.

Jurassic · Post by **Jurassic** » Wed Aug 15, 2018 6:44 pm

prikolno · Post by **prikolno** » Thu Aug 16, 2018 1:07 am

>in the off chance that you are not, can you tell me what the Reverse K-S test (assuming familiarity with standard K-S) is?

Are people still using RKS? I thought it has been deprecated after the Sokolov-Yang-Anderson paper that DB circulated in 2015.

RubyYao · Post by **RubyYao** » Thu Aug 16, 2018 11:09 am

RubyYao · Post by **RubyYao** » Sat Aug 18, 2018 10:57 am

I just got a strategy, I will share next Monday. Have a nice weekend Chew

Jurassic · Post by **Jurassic** » Sat Aug 18, 2018 12:59 pm

> Are people still using RKS? I thought it has been deprecated after the Sokolov-Yang-Anderson paper that DB circulated in 2015.

Does anyone have a copy of this paper by SYA?

doomanx · Post by **doomanx** » Sun Aug 19, 2018 11:28 am

> Are people still using RKS? I thought it has been deprecated after the Sokolov-Yang-Anderson paper that DB circulated in 2015.

Seen a bit of a surge in popularity after the 2017 paper Yuri published while he was still at GS, pretty much blew the whole prop game wide open. Heard most desks had to re-write their alpha gen as it pretty much made it fair game for everyone.

anonq · Post by **anonq** » Sun Aug 19, 2018 7:44 pm

> Seen a bit of a surge in popularity after the 2017 paper Yuri published while he was still at GS, pretty much blew the whole prop game wide open. Heard most desks had to re-write their alpha gen as it pretty much made it fair game for everyone.

Any chance you know the name of the paper? I do have a broker relationship with GS so could get the paper from them

any color on why people had to re-write alpha generation? running an equity quant book and haven't seen significant alpha decay the past year, actually 2018 turning out to be a great year