Quant Forum - Questions for a Renaissance Technologies Quant ?

Discussion in 'Professional Trading' started by ASusilovic, Feb 19, 2008.

  1. Hi altogether,

    I suppose some Quants visting ET...In a couple of days I will have the opportunity to question a quant working at Renaissance Technologies ( for the Renaissance Instutional Futures Fund ). As I am NOT A QUANT, I would like to ask ET members whether somebody has some brilliant questions so that at least I would not pass up the chance...

    I prefer serious input !

  2. I'm sure that he has signed a 1,000,000 page Non-Disclosure Agreement.
  3. Corey


    Just off the top of my head ...

    1) Advice for study for students who would like to become quants

    2) Can simple mechanical systems be effective for small-time traders, or is large amounts of capital required to effectively capture tiny market edges?

    3) Are multiple uncorrelated systems trading together better than one large system?

    4) Machine learning or application of discretionary techniques?
  4. The Pie-Splitting Problem

    Imagine that N=3 friends gather to make an apple pie. They buy the ingredients, they follow the recipe, they bake it, and finally they have a yummy apple pie.

    The pie looks delicious, and the three friends can’t wait to eat it up. However, they now have a problem: how should they split the pie in a fair manner? There are various possibilities, among which:

    * equal division: before they start making the pie they could agree that each would get 1/3 of the pie once the pie is ready. However, since the reward is certain, one (or more) of the friends could then opt to slack off and do very little. Why should he bother if he’s gonna get 1/3 of the pie, right?

    * the leader splits the pie: the three friends could elect a leader who would split the pie in the end. However, there obviously would be a conflict of interests: the leader would be more interested in having a big slice of the pie than in deciding fairly how the pie should be split.

    * the arbiter splits the pie: the three friends could invite a fair and impartial arbiter to supervise the pie-making operation. In the end, the arbiter would try to assess (as fairly as possible) each cook’s contribution, and then decide how the pie should be split. However, what if the supposedly “fair” arbiter and one of the cooks collude?

    * distributed unhierarchical evaluation: before they start making the pie, the three friends could agree on an algorithm. Once the pie were ready, each friend would evaluate each of his friends’ contribution, as well as his own. They would then rely on their pie-splitting algorithm to compute the “fairest” splitting.

    1) Given a set of rules and assumptions, what would be the optimal strategy?

    2) what (good) pie-splitting algorithms can you think of?
  5. Most probably, but nevertheless I hope it´s not going to be a self-promoting show...:)
  6. Ask if they find short term (HF) trading systems more reliable/profitable than trending (i.e. turtle type), and if so, what kind of daily short term gains do they shoot for.

    also, how do they scale their bets (fixed, fractional, kelly, etc.) as a function of a given amount of capital.

  7. Suss-----Ask the guy if the company's success is based on skill or luck.
  8. Susil ask them how important their position sizing is in their trading.

    Would love to hear their answer(s).
  9. Ask how he got his job.
  10. Ask where the S&P will be in 18 months time.
    #10     Feb 20, 2008