Xinyi (Cindy) Liu

Interesting strategy assuming the market is endogenous. Using deep #RL to dynamically adjust portfolio allocation to max. returns while managing risk. An #Autoencoder to extract 3 latent features from the initial set of 12. Continuously learning from new data based on the input distribution. Would be interesting to see the performance when the strategy is exposed to exogenous factors. Missing a public repo for this but still a great read! https://bit.ly/4bwV1zt

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Don't miss out on an exciting case study at the 6th Annual Machine Learning in Quantitative Finance conference! Igor Halperin from Fidelity Investments will explore the applications of reinforcement learning techniques to optimize quantitative trading. Key topics include: 1. Understanding how reinforcement learning empowers algorithmic trading 2. strategies to adapt and evolve in real time. 3. Identifying best practices for applying reinforcement learning techniques to portfolio optimization. 4. Delving into recent developments in reinforcement learning and their impact on quantitative finance. Join us from September 23-25, 2024, in New York, NY, to examine the best use cases of machine learning techniques in quantitative finance strategies and discover actionable solutions to overcome implementation challenges. #MachineLearning #QuantitativeFinance #ReinforcementLearning #AlgorithmicTrading #FinanceConference #NewYork Register now to secure your spot! Event Website: https://lnkd.in/etABFXzP

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UPDATE on the CFT-Max (J1939) Data fields now include: Peak flows and total flow volumes since last reset as well as the current flow and flow averaged / 500 ms. Knowing more Flow Data increases the Value of the Data!

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Bloomberg makes proprietary alternative data available to quants Bloomberg has made its proprietary Bloomberg Second Measure (BSM) transaction data analytics feeds available via Bloomberg Data License. Data professionals and quantitative researchers can now connect this alternative dataset with Bloomberg’s more traditional Data License content. #data #datasets #markets #trading #finance #GlobalTrading https://lnkd.in/eMvGdWzi

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Building Trading Apps? Looking to integrate powerful charts into your trading application? This tutorial will teach you how to build interactive experiences that bring your options data to life, giving traders a whole new way to analyze the market. What's Inside 🔍 ➡️ Learn how to implement interactive charts that showcase call and put trades effortlessly. ➡️ Explore the integration of DataGrid, HTML Annotations, and Legend Boxes for enhanced data visualization. ➡️ Get hands-on with real-time data rendering and advanced chart configurations. ➡️ Explore the functionalities of LightningChart JS Trader and how it simplifies complex charting tasks for developers. Check out the full project and download the template to get started on your own charts! 🚀 https://hubs.la/Q02FNqn00 #OptionsTrading #DataVisualization #Fintech #LightningChartJS #TradingStrategies #TradingApp #TradingPlatform #TradingTools

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Building Trading Apps? Looking to integrate powerful charts into your trading application? This tutorial will teach you how to build interactive experiences that bring your options data to life, giving traders a whole new way to analyze the market. What's Inside 🔍 ➡️ Learn how to implement interactive charts that showcase call and put trades effortlessly. ➡️ Explore the integration of DataGrid, HTML Annotations, and Legend Boxes for enhanced data visualization. ➡️ Get hands-on with real-time data rendering and advanced chart configurations. ➡️ Explore the functionalities of LightningChart JS Trader and how it simplifies complex charting tasks for developers. Check out the full project and download the template to get started on your own charts! 🚀 https://hubs.la/Q02FNr-R0 #OptionsTrading #DataVisualization #Fintech #LightningChartJS #TradingStrategies #TradingApp #TradingPlatform #TradingTools

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0DTE options, known for 'lottery-like payoffs,' now make up about 50% of S&P 500 options trading volume. Garrett DeSimone, head of quantitative research at OptionMetrics warns of the risks: 'You can go completely broke, but there are occasional Lotto-sized payouts.' Despite their rapid growth, concerns linger about potential market destabilization if they expand to individual stocks. Read the full article below. #optionstrading #tradingstrategies #optionmetrics

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Yesterday, I published a free step-by-step guide to value a volatility swap with Python. If this is your kind of thing, check it out: https://lnkd.in/er75EYRb

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Discover how ExtractAlpha’s TrueBeats signal can predict earnings surprises with precision. Learn more about our award-winning team’s research and trading signals: https://lnkd.in/gtDXWkiM #quanttrading #quantitativeresearch #quants #alternativedata

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The Poisson jump process: Critical to accurate pricing of options and other derivatives. Used by professional quants at every bank. Now you can too (with a few lines of Python): Tomorrow, 26,000+ subscribers will get a step-by-step code walkthrough that simulates asset prices using a jump process. It’s about 20 lines of Python and takes about 5 minutes to read. You can get it right in your inbox tomorrow, for free: https://lnkd.in/enF-wvzX

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Interview Questions I have been asked as a Q-Quant in Derivatives Pricing roles at the Top sell side firms If you're wondering what a Q-Quant is, let's understand that first! Q-Quants are the sell side Quants who mainly work on pricing of derivatives and new products. Q-quants are concered with relative valuation and making sure that their pricing shemes are consistent with exchange traded products that are observed in the market. Here's a list of interview questions including technical, analytical, market awareness, behavioral and situational questions : 1. Walk me through the pricing of a European vanilla call option within the Black-Scholes framework. Now, explain the concept of the option Greeks: delta, gamma, vega, theta. How would you use these Greeks to manage the risk of a portfolio? 2. The price of a stock follows a geometric Brownian motion. How would you derive the partial differential equation satisfied by the price of a derivative of this stock? Can you offer a brief intuitive explanation of Ito's Lemma? 3. You're presented with a real-world volatility surface for an FX pair. Discuss the challenges involved in calibrating a model to this surface. What factors would you consider to choose a suitable model, and what trade-offs might you need to make? 4. Describe Monte Carlo simulation and its application in option pricing. How would you ensure the efficiency and accuracy of your simulations, especially when dealing with complex derivatives? 5. Discuss a recent trend in the derivatives markets that you find interesting and the potential quantitative challenges it presents. 6. If you could create a new, innovative exotic derivative, what would it be and what problem would you be trying to solve with it? Consider the potential market need for such a product. 7. Identify a potential risk in the current market environment – it could be related to regulation, products, or volatility. How would you analyze and quantify this risk from a derivatives quant perspective? 8. Describe a project where you encountered a significant challenge in your quantitative work. How did you identify the problem? What approach did you take to resolve it, and was it successful? We are conducting a Master Class on "Cracking a career as a Quant, a Quant Developer or a Strat" with Andrey Chirikhin who has more than 20+ years of experience working across different roles in Quantitative Finance. He will be talking about the following - Cracking the first quant role across the Buy side, sell side, Fintech, and Financial consulting. - How to build a long-term career and grow as a Quant Professional - The inside of the Quant Industry across different roles. - Required skill sets (hard and soft skills) - Date - 23rd June 2024 (Sunday) Time - 9:00 PM IST Register now to take advantage of the Early bird offer, use coupon code EarlyBirdQI TO GET 20% OFF Registration Link - https://lnkd.in/gEvN7Aw5

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Are you looking to incorporate more data-driven approaches into your algorithmic trading? 👉 This article provides a deep dive into the math behind trading strategies, perfect for both beginners and seasoned quants: https://lnkd.in/freAS36 ⬆️ Level up your algorithmic trading skills with a solid foundation and explore the essential mathematical concepts you need to know for building trading strategies. #maths #QuantFinance #algorithmictrading #dataanalysis #trading

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My paper Risk Price Pinference with Xu Cheng and Eric Renault "Identifying the Volatility Risk Price Through the Leverage Effect" was officially accepted by the Journal of Econometrics!!

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Embrace the PUTs but Don't Fear the CALLs: The Laid-back Options Trading Take Let's talk about a topic that's as exciting as it is misunderstood: options trading using PUTs and CALLS.  Written by Leo Vandeveer on the Laid-back Options Trading blog. https://lnkd.in/eYuSjWB5  Published on the Zirkels web3 blogging platform - https://zirkels.com #trading #optiontrading #option #calls #options #tradingblog #optionstrading

Questions to ask Quant employers/hiring managers in your Quant interviews ➡️ Role Specific/Technical considerations - - How are trading and research teams organized at the firm? - What programming languages and technologies are primarily used by the quant team? - How robust are the testing and deployment pipelines for quantitative models? - What level of access do quants have to real-time market data? - How does the firm handle model risk and backtesting procedures? - What is the firm's approach to ethical and responsible AI in trading? ➡️ Firm specific/culture - - How does the firm promote collaboration and knowledge sharing across teams? - What opportunities are there for professional development and career advancement within the firm? - What metrics are used to evaluate employee performance, and how does compensation tie into these metrics? - What exchanges and financial products does the firm trade on? - How much turnover exists at the firm and how long is the non-compete clause? ➡️ Performance evaluation - - What tools and resources are available to quants for analyzing the performance of their strategies? - How often are performance reviews conducted, and what feedback mechanisms are in place? - Is there an open culture for discussing failures and learning from mistakes? - How are successful strategies rewarded and incentivized? - Does the firm encourage research and experimentation with new quantitative techniques? ➡️ Brownie questions - - What are some of the biggest challenges and opportunities facing the quant team currently? - Can you describe a typical day in the life of a quant at this firm? - What are some of the most successful projects or strategies developed by the quant team in recent years? - Do you have any specific advice for someone considering a career in quantitative finance at your firm? We are conducting a Master Class on "Cracking a career as a Quant, a Quant Developer or a Strat" with Andrey Chirikhin who has more than 20+ years of experience working across different roles in Quantitative Finance. He will be talking about the following - Cracking the first quant role across Buy side, sell side, Fintech, Financial consulting. - How to build a long-term career and grow as a Quant Professional - The inside of the Quant Industry across different roles. - Required skill sets (hard and soft skills) - Daily task of a Quant and how to excel them to faster career trajectory Date - 23rd June 2024 (Sunday) Time - 9:00 PM IST Register now to take advantage of the Early bird offer, use coupon code EarlyBirdQI TO GET 20% OFF Registration Link - https://lnkd.in/gEvN7Aw5

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