Hi ET'lers, Hope everyone is doing fine in here! My name is Hendrik and I'm looking for some input in regard to my vague plans to do a PhD in the area of trading strategies. Some 7/8 years ago I started using Excel with historical data to evaluate "trading strategies". Doing that for a while let me to some more ambitious research using tradesignal terminal (http://terminal.tradesignalonline.com/) which uses Equilla as coding language which I'm quite familiar with. I haven't done too much in recent years as I started a career in IT after my Master's in Economics. However, there is still a deeply routed interest in the subject. I've been closely following the financial markets for the last 15 years and was devastated when I couldn't get any financial job when I graduated in 2009. I'm going for a sabbatical year now and will have some time to spare and would like to spend this on education and research in this area. I was very close to doing a PhD after my studies to bridge the bad time for jobs in finance with some more education but went for an IT job instead as I was sick of living the student life to be quite frank. At the moment I'm looking for any kind of advice on current research, books/papers, general academic work around this, universities which have done any kind of research around it, funding ideas, professors who might be interested in supervising a PhD, companies that do a lot in quant trading and look for cheap research staff, the list could go on and on but I guess you get the gist of what I'm looking for. Currently I'm looking at re-optimizing and the possibility to scientifically proof that a cycle of constant re-optimizing can deliver long term risk adjusted returns superior to other asset classes. If you should happen to have any advice for me on how to go about all this I would so much appreciate if you can share it here or via pm. I feel like some expert advice or any insights from experienced "quants" can really make a difference for me at this stage. Thanks a million for your time!
Outside of an upper echelon military academy, I know of very few academic pursuits that teach true "strategy". I would be interested to hear of other suggestions. Usually they teach theory, and if you want to pursue a dissertation on strategy in pursuit of an advanced degree I suppose it would be up to your Departmental academic advisor.
Most of the phd's in finance did their phd in physics, chemistry, or some other analytical but irrelevant field. A few do it in computer science and there are a few finance phd's. There isn't a phd in trading strategies though some of teh finance or math guys focus their research on market behavior. If you are an IT guy, instead of getting a phd; work towards a masters in financial engineering and then look for a job that utilizes your old and new skills. Unfortunately, there are a lot of financial engineers on the market right now.
There are a number of academic papers on the general topic of smart order routing algos, getting execution across multiple venues, including dark pools, doing all this in the presence of other algos, etc. Google will get you there. Around here it seems most people seem to think algo trading is basically automated TA, but the reality is most algo trading is about using intimate knowledge of market microstructure to get the best possible executions, and flushing out small pricing discrepancies across a fragmented execution space. If you want a specific "application" to play with, you could explore robust strategies to sell X when everybody on the other side of the trade is trying to buy X with VWAP and TWAP. It's well-trodden ground, yes, but it remains a less-than-satisfactorily problem, and most importantly will get you thinking in terms of how the markets are actually built, and how executions actually happen. No end of things to play with in this space...
Phds in math, physics along with knowledge of programming can devise very good models to trade with high percentage winners.
If that were true every phD in Math and Physics would be a trader. A population of hundreds of thousands theoretically ( Ha ! a pun ).
damn Random, with that kind of strategy you must be flat most of the time. What do you do for entertainment?
there are Tibetan foxes who will stand motionless everyday until conditions are right, and then even still, they won't make a move until somebody makes a mistake. And then there are cockroaches like me, who are happy under a warm refrigerator, and if we can't find any food, we will eat cardboard.
Check out the rankings of top tier world class engineering schools. The three above where I went or even the top 10 will bear fruit for you. You are correct in that strategy is the name of the game. You will not be welcome in the financial industry. But you may want to work where the greatest "waste" of capital is occurring. They have more capital with which to pay you. Collecting capital from niave capital providers is very rewarding. I feel very strongly that the best strategy comes from least connected networks. I also feel that the key to strategy is being able to activate and deactivate parts of the proper networks according to the sequence of events that are transpiring. So to an acquistion of knowledge then skills for become an expert in financial strategies look into where the theories are taught related to Carnap on logic and Keynes on paradigms. For combining that with least connected networks also blend Alexander's Method into the mix. This means you are sitting on the Berkeley Campus in the Mathematics Department. Your Economics and IT experiencee will not be helpful since they drive you away from where problem solving by the use of superior strategies, resides. Too bad. In optimizing making money, speed is not a factor. The answer is in intertwining about 5 significant Orders Of events. Events replace time. It took me a long time to figure out why about no one can come to this type problem solving solution to combine how ALL the strategies out there and meld them into a psychological model of behavior that has distinct measures (Parmetric Measures). Most people get on a tractor and look ahead as they plough a single furrow in a field and go to the next field. Its better to plough the whole field and then change tools to disc the field into the best conditioned soil for growing capital. "Wasted capital" is what to collect and grow.