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sthorson
Re: To Quant Or Not To Quant, That Is The Question

The term "Quant" sure is getting a lot of action on here in recent months. I think it would be interesting to learn how some of you define what a "Quant" is...

In the early 1990's quantitative analysis (Quant) was fairly new. Essentially anyone "data mining" was considered a quant. When hedge funds started to get media play they were all put in the "quant" bucket; some mysterious, black box wizardry that was to become legend.

So folks, define "Quant" in your own terms.... I'm guessing the answers will be all over the map.

Dec 4, 2019 8:00:02 AM       
Jrinne
Re: To Quant Or Not To Quant, That Is The Question

All I know is they are really demanding people;-)

From time to time you will encounter Luddites, who are beyond redemption.
--de Prado, Marcos López on the topic of machine learning for financial applications

Dec 4, 2019 8:14:51 AM       
InmanRoshi
Re: To Quant Or Not To Quant, That Is The Question

I think there is a lot of "you have to learn to crawl before you start running an ultra-marathon" when it comes to being a quant (whatever that means to you). I think Marc is right to bring up that an inordinate amount of time and cost being allocated to a few ultra marathoners would not be a great model for P23. Maybe the goal is to builder a wider body of light joggers who one day might turn into ultra marathoners over time. I've appreciated when P123 has attempted to teach it's user base how to walk and then jog and then run a 5k .. so on .. ... be it Marc's excellent tutorials, or yuval's blog. P123 already provides a lot of tools, and more tools than 99% of daily investors would ever use. As Andreas said, everything you need to be successful is already here. I fully believe that or I wouldn't be paying a subscription fee. I think a lot of people are confused as to how to best utilize those tools (arcane to the average investor off the street) in a sound methodology to make money. This requires knowledge sharing. I do agree with the approach P123 has made to do more general user hand-holding.

These boards are a great knowledge sharing resource, but it takes a lot of excavation work by the user to dig up the gold. Also, part of the putting the onus on the user to search out knowledge is the assumption that the user even knows what they should be searching on. I stuck with it for years because it generally scratches an intellectual curiousity itch. So I eventually managed to stumble my way into excavating the knowledge shared by steve and denny halwes and oliverkeating and kurtis hemmerling and several others over time and elbow grease ... but if I were just some general mildly curious investor who decided to give P123 a trial run for a few months, I can see where it's just too dense to follow through on with a long term financial commitment. I think there needs to be better curating of the knowledge that has been shared by the very smart people who have generously shared their hard won wisdom on these forums over years and years. I think the knowledge shared on these forums is an asset for P123 that goes underutilized. I seriously have learned more from one great thread on these forums than I have through obscure out of print books on investing that I bought for $80-$100 on Amazon and spent many hours slogging through. yuval posted about a potential P123 community based blog. I think that would be excellent. But even something as simple as pinning great threads to a "Thread Hall of Fame" for knowledge sharing would be a huge asset.

Dec 4, 2019 8:29:15 AM       
Edit 5 times, last edit by InmanRoshi at Dec 4, 2019 8:47:47 AM
philjoe
Re: To Quant Or Not To Quant, That Is The Question

I had typed out a reasonable response, but I'm too afraid of being flamed by ALL CAPS and BOLD type as to how stupid I am.

Dec 4, 2019 8:44:10 AM       
Jrinne
Re: To Quant Or Not To Quant, That Is The Question

I think there is a lot of "you have to learn to crawl before you start running an ultra-marathon" when it comes to being a quant (whatever that means to you). I think Marc is right to bring up that an inordinate amount of time and cost being allocated to a few ultra marathoners would not be a great model for P23. Maybe the goal is to builder a wider body of ultra marathoners. I've appreciated when P123 has attempted to teach it's user base how to walk and then jog and then run a 5k .. so on .. ... be it Marc's excellent tutorials, or yuval's blog. P123 already provides a lot of tools, and more tools than 99% of daily investors would ever use. As Andreas said, everything you need to be successful is already here. I fully believe that or I wouldn't be paying a subscription fee. I think a lot of people are confused as to how to best utilize those tools (arcane to the average investor off the street) in a sound methodology to make money. This requires knowledge sharing. I do agree with the approach P123 has made to do more general user hand-holding.

These boards are a great knowledge sharing resource, but it takes a lot of excavation work by the user to dig up the gold. Also, part of the putting the work on the user to search out knowledge is the assumption that the user even knows what they should be searching on. I think there needs to be better curating of the knowledge that has been shared by the very smart people who have generously shared their hard won wisdom on these forums over years and years. I think the knowledge shared on these forums is an asset for P123 that goes underutilized. I seriously have learned more from one great thread on these forums than I have through obscure out of print books on investing that I bought for $80-$100 on Amazon and spent many hours slogging through. yuval posted about a potential P123 community based blog. I think that would be excellent. But even something as simple as pinning great threads to a "Thread Hall of Fame" for knowledge sharing would be a huge asset.


So I actually do not disagree. But please help me understand how this works.

Yuval can recommend bootstrapping and bagging to us at home with spreadsheets.

But we should not recommend this to P123. It was not even a feature request. It was a response to a question from the person who recommended bagging and bootstrapping to begin with.

Is this about right? Really?

-Jim

From time to time you will encounter Luddites, who are beyond redemption.
--de Prado, Marcos López on the topic of machine learning for financial applications

Dec 4, 2019 8:48:26 AM       
Edit 2 times, last edit by Jrinne at Dec 4, 2019 8:57:24 AM
Jrinne
Re: To Quant Or Not To Quant, That Is The Question

I had typed out a reasonable response, but I'm too afraid of being flamed by ALL CAPS and BOLD type as to how stupid I am.


LOL. At least you are not demanding;-) Or you know putting up images of really flimsy data, although no one has any evidence otherwise.

As I recall I got flamed by you after I said I though you were a good coder. An honest mistake but I have never done anything like what you suggest to you.

But maybe you can answer this in your reasonable response. I would like to hear it:

But please help me understand how this works.

Yuval can recommend bootstrapping and bagging to us at home with spreadsheets.

But we should not recommend this to P123. It was not even a feature request. It was a response to a question from the person who recommended bagging and bootstrapping to begin with.

Is this about right? Really?

-Jim

From time to time you will encounter Luddites, who are beyond redemption.
--de Prado, Marcos López on the topic of machine learning for financial applications

Dec 4, 2019 8:55:49 AM       
Edit 4 times, last edit by Jrinne at Dec 4, 2019 9:04:20 AM
InspectorSector
Re: To Quant Or Not To Quant, That Is The Question

Seeking Alpha, which played well to it, was able to reduce Yahoo! Finance, the once-dominant web outlet, ti virtual irrelevance.


Marc - I think you are giving too much credit to Seeking Alpha. Before being bought out, Yahoo was being run by absolute incompetence... that woman from Google that thought the formula for success was to optimize the site based on AB testing. Yahoo ended up being the worst spam site around. Then Yahoo was bought and what they have now are bot-generated articles that nobody wants to read. Seeking Alpha is doing OK but I don't think they are thriving. There is a lot of competition out there for finance-based publishing. If P123 wants to be in that business then they will need a business model that pays authors to write.

My question, therefore, what, exactly, is the business opportunity for p123 in the high-quant area. This is not about capabilities Jim, Steve, Yuval or any other person might want. It’s about the business (profit) prospects for p123 in supplying it.


Instead of tackling the Shakespearian "To be or not to be" question head on, let's look at the business from a higher altitude. The way I see it, and this may come as a surprise to P123 management, is that P123's primary business is tied to the small family office. If P123 doesn't realize this then they should. This market segment is the silent majority at P123. These are primarily people running small investment firms or people wanting to but needing a little push to get it started.

Consider Jim to be a poster child for this business segment. Well, in his case he is not "silent". Reading between the lines, Jim is a professional, has a lot of money for investment purposes and has expressed a desire to start his own private investment firm in the near future. Or at least incorporate investments into his existing business, basically the same thing.

Family offices are a high growth phenomenon and where the money is. Consider this quote: https://webcache.googleusercontent.com/search...=en&ct=clnk&gl=ca

Ward McNally sums up the family office phenomenon quite neatly by saying that they are “as quiet as you possibly could find”, but “they’re writing extremely large checks.” It is clear that family offices have become a force to be reckoned with.


I believe that how P123 deals with Jim and similar situations will ultimately define P123's success in business. I know there are a lot of family office types kicking around P123 based on consulting opportunities I have had in the past.

So the question I have is, "What is P123's plan for growth?" If I were running the company I would be catering to the family office. I'd start by putting up a webpage advertising family office services up to and including turn-key asset management. I would be learning everything there is to learn on tax and legal aspects. I'd be hiring customer service representatives to talk to clients like Jim, find out their needs, and channeling their energies into what P123 can practically provide. I would be setting up a team of consulting resources to help customers deal with their desires or alternatively worth on alternatives that satisfy the customer. This goes well beyond Quant strategies, but includes money management, documentation to protect their asses regarding poor investment choices (family members can be the most viscious when it comes to legal matters).

Where is P123 going to achieve future growth? My suggestion is that P123 should be catering to the family office business. There is money there beyond the average cost of a subscription, and it is a growth market. If you look at it from this perspective, then Jim becomes a challenge, an opportunity, not an annoyance.

Dec 4, 2019 9:09:46 AM       
RTNL
Re: To Quant Or Not To Quant, That Is The Question

How about some very basic things that can be integrated in easily - like:

Statistical significance of factors in the ranking system. Information coefficient by decile. Right now all we see is raw magnitude when we rank.

For me one of the things i use ranking system for is to put the base rate on my side. However, it is hard to know even if you build your own system, if the results are luck or skill.

Dec 4, 2019 9:19:16 AM       
mgerstein
Re: To Quant Or Not To Quant, That Is The Question

But it is good to know that P123 is so financial sound that it can let quants know what P123 thinks of them and that they have no intention of catering to their demands. For the record none of what I said could be classified as a demand, I think. In fact, Yuval says he wants me to go into greater detail. Seems like Yuval can be a bit of a quant himself—depending on the situation. Guess Marc had not made it clear to everyone how he felt yet.


Jim, I think you're taking it the wrong way. The existence of a hi-quant market is undisputed. So, too, is the reality that we do not serve their needs. We also don't serve the needs of people who want information on health and nutrition. We don't serve the needs of people who want sports coverage. Etc., etc., etc. There are many many many needs in finance, in technology, in everything that we do not serve.

It isn't that we don't like or respect them. It's that as a for-profit private-sector business, we must always look to match our collective skill set with those customers/needs that can combine to produce a profitable outcome. In sports, health, areas like that, we, at least I, am intensely interested, but collectively, we do not have any professional-level skills to bring to the table. In finance, it's different. We do have some (collectively, quite a lot) of professional level skills so we get past step one.

Step 1a is that if we don't have a set of skills necessary to professionally serve a particular aspect of finance, is it a skill-set we can plausibly develop or acquire? Answering Yuval's questions would go a long way to allowing us to shed light on that.

But then comes Step 2: Can we serve that need and make a profit doing so? That addresses the questions in my initial post.

So ultimately, when you keep talking about all the people we do not serve, I'm fine with not serving them unless/until we can get good answers to questions 1, 1a, and 2. No business, not p123 nor any other including those whose share everybody buys and sells, can or will ever apologize for not serving a particular type of customer need, even a large one. The question is always whether there is a profitable opportunity for a specific business to serve a specific need.


BTW, no matter what one thinks of my situation, I do not hear any true quants making any requests. None at all since Primus went dark. But stereotyping people seems to be okay in 2019. Even if you are: Director of Research, Chaikin Analytics which seems kind of quant-like to me. I am sure there are sound fundamental reasons for the the Technical Indicators in this case. Stereotypes are okay and some get a pass. Yep. All good in 2019.


Stereotype is an interesting word; one on-line dictionary defines it as:"a widely held but fixed and oversimplified image or idea of a particular type of person or thing."

We have to be very careful about how we use it. We absolutely do have images or ideas about persons or things. Everybody does. I'm not sure how one could go through life without them. And I can't imagine any business getting off the ground, much less, surviving, without putting a lot of effort into developing, monitoring and refining those image and ideas.

I think the focus needs to be on whether our ideas about our actual and potential customer groups are "fixed and oversimplified."

They are absolutely not fixed: I wasn't kidding at all when I said I'd support a hi-quant push if I could see a profitable path. And if I'm not open enough, Yuval is a lot more interested in quant than I am so if I don't pick up on a viable idea and run with it, you can bet your last dollar he will. And having been in this business since 1980 and having worked with and encountered many, many, many aspects of it and having evolved my own thinking countless times over the years, anyone who suggests my images and ideas are "oversimplified" would face a rather large, and I believe insurmountable, burden of proof.

I'm not exactly sure of what you were looking to communicate through reference to my position at Chaikin Analytics. But it's just as well you raise it since it demonstrates the power of the p123 platform you now use. It's a business, a significant business, that quite literally came into existence as a direct result of Marc Chaikin's work on p123 with the exact same tools and capabilities you all have. Oops, correction: The development work was finished by 2012 -- the platform has continued to improve since then so actually, you and other current users have more power available to you than he did. Is it a quant business; I'd personally rather use the term "quantamental" but you can label it yourself by looking at chaikinanlytcs.com and/or the content I posted on my blog at actiquant.com. Labels aside, though, it is a very strong piece of evidence in support of the proposition that what p123 offers right now is very very very substantial and can do tremendous things for its users.

Andreas is another example as you've seen in his posts about the new direction he's taking with is life/career based on what he's been doing on p123. And look carefully at what he posted re: his experience in IT Management. It's very relevant.

Does p123 fail to serve certain kinds of users? Yes, and every business in existence would give the same answer.

Is p123 a bad company because it fails to serve certain kinds of users? No and again, we'd give that same answer fo every business.

What makes p123 good or bad? My opinion: Whether it makes the customers it serves batter than they'd be without p123 and we have plenty of examples, including some especially noteworthy ones like Chaikin and Andreas that support an argument that p123 is good, really, really, really really good.

I would like to see P123 stay in business.


So do we and so do a heck of a lot of others.

Again, sorry for my suggestion in that regard. Glad I had no need to worry.


Don't be sorry. If you can refine your suggestions to help us see they would help us AS A PRIVATE-SECTOR FOR-PROFIT BUSINESS, we're happy to explore further. We have our own ideas on how we can grow in the future and not everybody inside p123 has the exact same set of ideas. But everyone is open to new ideas, as long as they are commercially promising.

Marc Gerstein
Corporate Advisor, Portfolio123
Director of Research, Chaikin Analytics, featuring <i>Power Gauge</i> model, designed on Portfolio123
Blog: https://actiquant.com
I predict the future, as soon as it becomes the past

Dec 4, 2019 9:24:00 AM       
Edit 1 times, last edit by mgerstein at Dec 4, 2019 9:25:25 AM
Jrinne
Re: To Quant Or Not To Quant, That Is The Question

So I would be happy to discuss this.

I do think it would be an opportunity.

The only question would be how hard it would really be. I think not so hard but obviously I would defer to Marco.

Honestly, Yuval does not get it. That is just a fact. I do not think discussing it further with him would be productive.

It is pretty amazing what can be done. There is no doubt in my mind that if it could be implemented it would be a game changer for P123. I understand the business aspect. I own my own business as SteveA suggests.

-Jim

From time to time you will encounter Luddites, who are beyond redemption.
--de Prado, Marcos López on the topic of machine learning for financial applications

Dec 4, 2019 9:34:01 AM       
Edit 5 times, last edit by Jrinne at Dec 4, 2019 9:52:36 AM
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