quantkaks @quantkaks Twitter profile

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quantkaks

3 months

Thought this was a good lecture. Learnt quite a bit.

Hamming, "You and Your Research" (June 6, 1995)

Intro: I have given a talk with this title many times, and it turns out from discussions after the talk I could have just as well have called it "You and You...

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quantkaks

@quantkaks

1 month

Can’t make it up lmfao

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quantkaks

@quantkaks

1 month

Reading it again, it might have been a joke that went straight over my head. Rip to me. Ignore this if it wasn’t a joke

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quantkaks

@quantkaks

1 month

Sick first week. People on my desk are pretty chill. The quants I’ve started alongside are cracked. All Oxbridge / Imperial, so the imposter syndrome is at ATHs. Ability to work hard and remain determined have always been my strengths though. The grind continues…

quantkaks

@quantkaks

1 month

First day tomorrow. Just spent over an hour ironing 5 shirts. Can’t believe I signed up for this. Wtf have I done.

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quantkaks

@quantkaks

1 month

Just congratulate the kid and move on loool

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quantkaks

@quantkaks

4 months

Recently signed a contract for a quant research/strats position at an investment bank. So fucking excited I swear. If you told me a few years ago that I’d be offered a role like this at a massive bank, I’d never have believed you.

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quantkaks

@quantkaks

2 months

New addition to the bookshelf that I’m never going to read 🤝🏽

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quantkaks

@quantkaks

5 months

Chief Scientist @ Man AHL came to give a talk at my university a couple of years ago. I was looking forward to learning about how they use Deep NNs and all the fancy stuff, but he spent the whole time discussing linear regression + regularisation techniques.

Quant

@quant_xbt

5 months

It's hard to beat a simple OLS regression for most applications in trading.

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quantkaks

@quantkaks

6 months

Probably one of the best explanations on the building blocks required to build a low latency trading system.

Trading at light speed: designing low latency systems in C++ - David...

Trading at light speed: designing low latency systems in C++ - David Gross - Meeting C++ 2022Slides: https://slides.meetingcpp.comSurvey: https://survey.meet...

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quantkaks

@quantkaks

1 month

First day tomorrow. Just spent over an hour ironing 5 shirts. Can’t believe I signed up for this. Wtf have I done.

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quantkaks

@quantkaks

1 month

@imsanjay82 Yeah exactly. Either way, no need to shit on him when you’re interning at JS yourself and clearly have an interest in robotics 😭

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quantkaks

@quantkaks

27 days

Good friend of mine has just published his first paper on unwinding toxic flow with partial information in collaboration with HSBC. Give it a read!

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quantkaks

@quantkaks

14 days

Running models overnight, coming into work the next morning, and then seeing that they’ve errored out is probably up there with the most heartbreaking feeling ever smh.

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quantkaks

@quantkaks

5 months

Learnt today that if you trade enough volume, exchanges will give you access to special low latency endpoints. Rich get richer smfh

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quantkaks

@quantkaks

2 months

This morning, i was reflecting on my own quant recruitment experience and concluded that people underestimate the importance of showing genuine enthusiasm and willingness to learn. I had interviews where I did really well in the technical questions, but didn't receive an offer.

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quantkaks

@quantkaks

5 months

Can always rely on r/quant for some light bedtime reading. A quant asking redditors how likely his strategy is to work is always a good starting point lmfao.

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quantkaks

@quantkaks

6 months

Lmfao had an interview for an IB quant position and the interviewer asked me to derive the error bounds for a Riemann integral. Looked at him and thought who even gives a shit about deriving error bounds for something every uni maths student covers in first year calculus.

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quantkaks

@quantkaks

2 months

Dinner with @BeatzXBT . He let me sit on the booth side of the table. What a gentleman.

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quantkaks

@quantkaks

6 months

One time in an interview, the interviewer started by saying that he doesn’t like asking complex maths questions because he doesn’t see the need to. In my mind I’m like “cool, just a normal chat”. He then proceeded to ask me the most fucked up maths problem I’d heard in a while.

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quantkaks

@quantkaks

3 months

i'm bored on a saturday night so i might as well explain this properly. the biggest inaccuracy is that under certain parameter values, the depth a market maker posts orders at in the orderbook results in a fill probability greater than 1, which of course is impossible.

quantkaks

@quantkaks

3 months

@vehcktor @Dub0x3A @nincadax @zenhft @ninjaquant_ @quantymacro @OBS_orderflow It’s really good at explaining diff topics from a stochastic control pov but there are several inaccuracies with the derived market making models unfortunately

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quantkaks

@quantkaks

6 months

When given the opportunity to ask questions in a quant interview, I always end by asking, "Any advice? If you could start your career again, what would you do differently?" (1/N)

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quantkaks

@quantkaks

5 months

dumb question (forgive me), but why is there an importance on building a local orderbook when doing mm? how is it quicker? it seems counterintuitive that getting data via a websocket, changing the state of your local orderbook, and then having your system look at the (1/2)

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quantkaks

@quantkaks

4 months

Just saw someone with Citadel branded AF1s. Need that rn

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quantkaks

@quantkaks

2 months

Having spent the weekend brushing up on my C++ skills (will need it for my new role and my only experience is a shitty option pricing simulation project at uni), I can safely say that Rust is so clear.

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quantkaks

@quantkaks

6 months

Was given some pretty good advice recently, interested to know if anyone else has experienced something similar: "Learn to celebrate the wins in life, otherwise you'll constantly be shifting the goalposts, wanting more, and not living in the moment." (1/3)

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quantkaks

@quantkaks

4 months

Having a whiteboard in your bedroom/office to write maths on is so underrated. Perhaps my best investment after my laptop + monitors

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quantkaks

@quantkaks

5 months

end of interview so got to ask him questions. asked one about desk setup for quants and he goes “what do you think”. if I knew I wouldn’t be asking you retard. hope oil goes to zero.

quantkaks

@quantkaks

5 months

a study needs to be done on why (some) commodity traders are thick af and have levels of arrogance like no other trader i've met. convinced this guy I met today was bullied by a crypto trader when he was younger.

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quantkaks

@quantkaks

1 month

@0xRyuzaki Starts from the top imo. With Renaissance, you had Jim who came from an academic/scientific career beforehand and could appreciate the importance of having a chill environment to nurture ideas, whereas with Citadel, you have Ken who started managing money at 19.

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quantkaks

@quantkaks

4 months

I legit used to dream of working at a place like this. That feeling of having years of hard work finally pay off is unrivalled. Need to pick up C++ again now ffs. Grind starts now 😤

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quantkaks

@quantkaks

1 month

@AsbjrnAndersen1 Well it says “incoming intern” so I don’t think he has that experience yet to come to such conclusions, but let’s say for arguments sake he does have that experience, it’s his own opinion, which he shouldn’t be projecting onto others. Let them come to their own conclusions.

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quantkaks

@quantkaks

25 days

Following on from what ceph said about internalisation/externalisation of flow being a real problem, I decided to learn a bit more about its mechanics, and how it can affect transaction costs and liquidity. Thought this paper gave a good insight:

cephalopod

@macrocephalopod

27 days

@quantkaks Sounds like an interesting paper aimed at solving a real problem in finance, unlike 99% of academic finance papers. Will def give it a read!

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quantkaks

@quantkaks

2 months

Think I'm going to spend some time learning about optimal execution with price impact and dealing with toxic order-flow. If anyone has any papers, please link them. Will probs start with these: 1. 2. 3.

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quantkaks

@quantkaks

5 months

a study needs to be done on why (some) commodity traders are thick af and have levels of arrogance like no other trader i've met. convinced this guy I met today was bullied by a crypto trader when he was younger.

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quantkaks

@quantkaks

1 month

Crazy full circle moment happened to me recently. Was invited back to the university I attended for my postgrad to give a talk to next years cohort of maths/stats students. Quite mad considering I nearly didn’t apply in the first place because I didn’t think I was good enough.

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quantkaks

@quantkaks

2 months

I think that's what sealed the offer for me. I was willing to learn the necessary math to solve the question, and even explained the solution back to him (it was something about deriving the 2Y1Y forward rate). If not for that, I highly doubt I would have received an offer.

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quantkaks

@quantkaks

6 months

Been asked a couple of times what the best resources are for learning stats/ml. Think there's a myriad of information out there, so it's very easy to fall down a rabbit hole. My recommendation, start off with Elements of Statistical Learning (assuming you have a math background).

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quantkaks

@quantkaks

2 months

But i think it just goes to show how important it is to be able to shut up and listen when you don't know something, show that you want to learn, and you have genuine enthusiasm. Not just the ability to answer technical questions like a robot.

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quantkaks

@quantkaks

3 months

@quantymacro Forgot to add "RT for RenTech, Like for Citadel". There's always next time 😔

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quantkaks

@quantkaks

6 months

I swear, IB quant interviews are the most random interviews ever. My friend was asked how to compute fibonacci numbers using matrices. WHO GIVES A FUCK.

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quantkaks

@quantkaks

2 months

Perhaps a stupid question because I don't think anything can be done on my side, but what's the best way to deal with throttling? For example, plotted below is the timestamp delta of hyperliquid's l2book update. The docs say minimum 500ms (on the slow side but fine, also need

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quantkaks

@quantkaks

2 months

However, the recruitment process for the offer I accepted was one of the more difficult ones. There was one question where I had no idea where to even start, or even which topic it related to. I mentioned this to the interviewer and he said "that's fine - should i teach you?"

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quantkaks

@quantkaks

6 months

Two pieces of advice have stuck: 1. "Be a beast at coding. You could know everything to do with maths and stats, but if you can't code, you're useless." 2. "Interviewing is a skill. I still interview for fun and get destroyed by technical questions, but you keep at it." (2/N)

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quantkaks

@quantkaks

5 months

@W98AB If anything, they hire fancy maths people to do the simple things well. You don't need to be amazing at maths, just need to be really good at the simple things.

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quantkaks

@quantkaks

14 days

Round 2 tonight. Preliminary tests passed. We find out tomorrow morning whether today was spent in vain🤞🏽

quantkaks

@quantkaks

14 days

Running models overnight, coming into work the next morning, and then seeing that they’ve errored out is probably up there with the most heartbreaking feeling ever smh.

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quantkaks

@quantkaks

2 months

A few pics from my recent travels. 📍 Marrakech, Morocco

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quantkaks

@quantkaks

1 month

@CLZen Very true. I think as long as I get the basics right (work hard, be curious, communicate well, and show a willingness to learn), I’ll be good.

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quantkaks

@quantkaks

4 months

You see people like this, stay far away from them lmfao

InΦ Theta

@in_theta

4 months

@quantkaks This can’t be a serious question..?

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quantkaks

@quantkaks

2 months

This is hands down, the best talk I've ever listened to in my life. I can't recommend it enough. The delivery was spot on. I've just rewatched it and urge aspiring researchers, PhD students, quants, etc. to also watch it. Courtesy of @__paleologo 🤝

quantkaks

@quantkaks

3 months

Thought this was a good lecture. Learnt quite a bit.

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quantkaks

@quantkaks

6 months

Shit like this is so cool to watch. Something which (visually) looks so simple probs has such intricate logic and infrastructure under the hood which took months to build.

BeatzXBT

@BeatzXBT

6 months

stink biddor in action!

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quantkaks

@quantkaks

5 months

local orderbook to quote a spread is quicker than just feeding websocket data into your trading logic. why can you not just get the book up to a depth of x and then feed that into your logic? (2/2)

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quantkaks

@quantkaks

5 months

Disappointed, I asked him where the fancy maths stuff was, and he said there isn’t any. Since then, I haven’t touched Deep NNs.

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quantkaks

@quantkaks

6 months

This one is pretty good too for building low latency trading systems. Some nice tricks which are probably common knowledge now since this talk is from 2017. Informative nonetheless imo.

CppCon 2017: Carl Cook “When a Microsecond Is an Eternity: High...

http://CppCon.org—Presentation Slides, PDFs, Source Code and other presenter materials are available at: https://github.com/CppCon/CppCon2017—Automated tradi...

www.youtube.com

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quantkaks

@quantkaks

2 months

@systematicls Kind of surprised that you think this is controversial. I’m a recent grad and most places I’ve interviewed at for QR positions have tested me on the ability to write high quality / production-ready code.

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quantkaks

@quantkaks

2 months

@quantymacro Have you tried restarting the kernel

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quantkaks

@quantkaks

5 months

@quantymacro stuff like this happens quite often tbh. you'll also get firms fishing for alpha during interviews.

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quantkaks

@quantkaks

6 months

Give me some complex stats or stochastic calculus question idc, don't ask me something I covered 5 years ago smh.

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quantkaks

@quantkaks

6 months

Fml, 1 hour later and I realised it's because I turned my 5G hotspot on and the IP address isn't verified on my Binance account to send orders. Can sleep peacefully now.

quantkaks

@quantkaks

6 months

Changed one little line of code in my OMS, everything broke. Changed it back, and everything is still broken????

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quantkaks

@quantkaks

6 months

@0xChainzyy I might drop some of the more interesting, open-ended questions. Some of them I still don’t have an answer to, even weeks after the actual interview lmfao

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quantkaks

@quantkaks

18 days

Everyone back to work tomorrow morning, fun’s over 🫡

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quantkaks

@quantkaks

3 months

There should be laws against having to work on a codebase with zero documentation, zero comments, zero modularisation, and variable names with "_new", or "_v2" at the end.

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quantkaks

@quantkaks

2 months

Accidentally pushed to main just before I was going to leave the office today. Then spent the subsequent hour figuring out how to revert to a previous commit without fucking up the whole repo, but ended up digging a deeper hole. Never making that mistake again 👍🏽 (I probs will)

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quantkaks

@quantkaks

6 months

The second piece of advice (from a quant with ~7 years experience at the top banks) was an eye opener. Even he would fuck up interviews - made me feel better about my fuck ups. Quickly realised that quants don't know everything. (3/N)

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quantkaks

@quantkaks

17 days

Really underestimated how difficult it would be to build a robust OMS. Been working on an implementation for nearly two weeks and it’s nowhere near ready. New features keep popping up too, like the ability to track partially filled orders

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quantkaks

@quantkaks

1 month

@W98AB Bought new non-iron shirts from charles tyrwhitt but they still need ironing. Prefer the whole shirt to be crisp

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quantkaks

@quantkaks

6 months

Maybe I'm generalising here, but as a grad student, you put quants with years of experience on a pedestal, as if they're insanely clever people who know everything. Yes, they're insanely clever, but they don't know everything lol. (4/N)

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quantkaks

@quantkaks

5 months

Prop shops have such cool offices man

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quantkaks

@quantkaks

6 months

That improvement in score is crazy. One of my biggest regrets is not taking math olympiads seriously at school. I only started grinding maths problems when I realised I needed to sit a STEP entrance exam to study maths at university lmfao.

MTZ

@Tobeech

6 months

When you think of going into retail trading, remember your competition is the most decorated math Olympiad

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quantkaks

@quantkaks

6 months

Who are the best Rust coders to follow? Becoming proficient is my goal for 2024.

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quantkaks

@quantkaks

6 months

Changed one little line of code in my OMS, everything broke. Changed it back, and everything is still broken????

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quantkaks

@quantkaks

6 months

Until now, whenever I achieved something sick (top grades, etc.), I'd just be like "Okay cool, onto the next thing". Let me tell you, that shit becomes draining very quickly. You'll feel like you haven't achieved anything, want more, and end up wishing your life away. (2/3)

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quantkaks

@quantkaks

6 months

You can still work hard and be hungry, whilst enjoying your achievements. Learn to be happy for yourself - something I'm trying hard to do. (3/3)

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quantkaks

@quantkaks

1 month

@typecarlosmale @imsanjay82 Yeah I think the whole comment is ambiguous tbh. I can’t even tell if it’s a joke having read it again

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quantkaks

@quantkaks

2 months

@0xRyuzaki I actually don't think there is one. The closest (imo) would be ESL, setting the required foundation for statistical learning, but it wouldn't teach you anything about the markets. Think you'd get that knowledge by fucking around.

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quantkaks

@quantkaks

5 months

@macrocephalopod Same vibes

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quantkaks

@quantkaks

5 months

@cryptohound666 got it. i'm thinking of it like this: instead of going to a supermarket and asking them what their entire stock is, it's quicker for me to just keep a log of each item in their stock, and update my log when a new item comes in/gets sold.

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quantkaks

@quantkaks

19 days

Somehow let my younger brother convince me to try his new pre-workout. Big mistake smh, been in bed for the past 5 hours. Could barely pick up a fork at the dinner table.

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quantkaks

@quantkaks

4 months

@quantymacro I find that it lights a metaphorical fire beneath my feet to want to go that extra mile and learn more, but agreed, it’s still very difficult. Frequently find myself second guessing before I open my mouth in case I say something dumb/obvious. Should iron out over time I think

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quantkaks

@quantkaks

2 months

@IGGYAZALEA @BeatzXBT your time to shine

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quantkaks

@quantkaks

6 months

Rust errors will have you begging for mercy like no other language I swear

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quantkaks

@quantkaks

5 months

@Vertox_DF That is literally how I measure the quality of a post before I read it lmfao 🤣🤣

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quantkaks

@quantkaks

3 months

@vehcktor @Dub0x3A @nincadax @zenhft @ninjaquant_ @quantymacro @OBS_orderflow It’s really good at explaining diff topics from a stochastic control pov but there are several inaccuracies with the derived market making models unfortunately

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quantkaks

@quantkaks

1 month

Mf has to be taking the piss. He has access to some of the best midfielders in the world but still can’t find a solution? At what point does he put the spotlight on himself? Either we’re all stupid, or he’s just inept at self-reflection.

Sky Sports Football

@SkyFootball

1 month

"We have been trying to find a solution in midfield for seven or eight years" 🔍 Gareth Southgate says England are trying to find 'something different' to solve the Three Lions' midfield issues 🧩

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quantkaks

@quantkaks

3 months

this is rarely discussed in literature but an oversight of the model nonetheless. also, this is why theoretical models will rarely (never?) work in practice. still pretty cool though. the multi-asset market making model proposed by olivier gueant et al. is nice too

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quantkaks

@quantkaks

6 months

This is where my trust issues began

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quantkaks

@quantkaks

3 months

@macrocephalopod @ltrd_ @__paleologo Citadel have the funniest one. Bro drew a pie chart and wrote pi underneath it.

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quantkaks

@quantkaks

6 months

@BeatzXBT Reminds me of when I tested whether “<” was faster than “<=” lmfao

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quantkaks

@quantkaks

3 months

@quantymacro You weren't here for the great kfc chicken shortage of 2018. You get used to it by now

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quantkaks

@quantkaks

3 months

Tweeted a while back about me always asking for advice at the end of a quant interview. Pretty much every interviewer has placed an emphasis on being an effective communicator.

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quantkaks

@quantkaks

6 months

@ripntear6 Yeah honestly that’s what I’ve concluded too. I’ve been interviewed by some quants who are super chill, could have a good convo with them. Others just read questions off some paper - boring af.

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