This is my current "hey nice to connect on Linked-In" page. I'm lucky to be connected to lots of interesting researchers and value that flow. I'll try to be highly specific in return so as not to waste your time. Here are my niches ...
- My open-source Python packages are here. The focus is on timeseries, optimization, order statistics and portfolio construction.
- Papers, articles, blogs etc are listed on my home page.
- My book fortells the rise of prediction networks. Audio for chapter one here and see also awards.
- Happy to discuss in CrunchDAO discord.
My main focus these days is creating high quality mid prices (theos) for OTC participants looking to improve internalization or execution. The main differentiator of these feeds is that I design games for 7000 quants around the world to play, and these games help me create components that remove predictability from the mids. So, if you are looking for a fully independent high velocity mid we should probably chat.
I've been a little busy with the above to pursue this angle but, if you are in model review or if you care to improve your own algos then the reason I might be able to help you is that I collect in a systematic way hundreds if not thousands of prediction algorithms authored by smart people around the world. Soon it will be possible to rent these for ongoing performance analysis. There really isn't any magic way to review algo models, but having lots of hungry algorithms peck at the outputs is probably the closest thing.
While my company's focus is in finance, it is quite simple to apply the same machinery and the same community to other realtime prediction problems, whether you care about wind speeds or the number of hamburgers sold. There was a time when I could provide you an API and you could help yourself. That time may come again. We can chat.
See https://pi.crunchdao.com/ which is evolving very rapidly in response to feedback from hedge funds.
I developed some "portfolio polishing" algorithms that are novel, well-motivated, but as yet untested at scale with large AUM. You would only want to talk to me about this if you have a strong prior on my ability to produce novel portfolio algorithms, perhaps due to familiarity with my "Schur" work here although I'm not talking about that, and if you have enough AUM to make the modest estimate of 40-80 bps tingle your spine, as opposed to generating a yawn.
I used to have an open chat on Tuesday nights but now the best proxy for that is the weekly community chat on Friday's at 11am EST. I'm happy to stay on a bit longer after the official stuff to talk about mathematics or whatever. See discord and look for the announcements.
Not really, no. I can only suggest some rather bespoke opportunities to learn that certainly should not be considered a comprehensive education in and of themselves!
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This time-series project suggestion.
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See lecture one, lecture two and lecture three put together by the Broad Institute at MIT and Harvard. That's your biology crash course. Then you'll be ready to take H&E images and predict transciptomics data. In other words, predict the result of an expensive test procedure from a cheap one.
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Also new: a $120,000 contest to detect small departures from martingality. You'll love the spash page where you can play space-invaders.
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If you are interested in generative methods there's also this long-running eleven-dimensional game I wrote to challenge you. Its a way to get familiar with Copulas and that sort of thing but you might very rapidly get to or beyond the SOTA for risk management by participating here. There is currently no prizemoney but I strongly suspect that will change soon.
See CrunchDAO.com for more challenges
I don't know but here's a reading list that's pretty narrow. It's all I've got.
Not really. Well, maybe just this:
Never, ever, ever kid yourself into thinking that you can determine that something mathematical or technical-but-not-arbitrary won't be useful or beneficial to try to understand.
Brief comment here on the topic.
Currently not but if you are good enough, you won't need a job. Create an awesome algorithm on CrunchDAO and hand it down to your grandchildren.
Oh boy, terrific. Best way would be to:
- Read my book.
- Sign up at CrunchDAO.
- Go through the process of entering a contest to help advance the science of causality, say, or help detect cancer.
- Ask questions in the discord and gain an understanding of what might help data scientists build models.
- If you have some cool tool that is free forever that a community of quantitative people could use to assist them, by all means recommend it.
Much appreciated!
You can help me by...
- Not asking me if I've considered using AI in my business.
- Not asking me if I need consultants.
- Not replying to the link I sent you with "what is this link?". It's a link.
- Not telling me you'd be interested in receiving an open ended essay from me on my experiences.
- Not forcing me to very graciously decline your kind offer to discuss my org chart in great detail with a complete stranger.
- Not reaching out to me with a pitch that begins with a declarative statement like "Firms are doing blah blah blah" or "Companies are finding that ...". This will make me want to strangle you.
- Not offering a limited time trial of anything at all, ever.
As noted you may already be improving my feed. Thanks. Should you feed more generous:
- Do me a solid and follow my on X/monteprediction because company marketting folks are wondering why I have 34,000 LI follows and only 34 on twitter. I hate twitter.
- Constructive feedback on my various writings are invariably greeted warmly (see my home page).
- Ah forget that. I really just want effusive unconditionally positive 5-star reviews for my book.
- Introductions to active early to mid-stage investors are appreciated
- I'm sure you're dying to write more unit tests for midone or timemachines or humpday.
- Nah? Well go win lots of money here instead.
- Introductions to financial market participants whose interest might be piqued by our unique setup are appreciated.
- Introductions to extremely good developers (solana/web3; kafka etc/streaming analytics; fx/ir/market making algo)
- I'm sure you can think of something else.