Quant Trading - A History
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- čas přidán 24. 08. 2024
- I have been a trader for over twenty years, and from the start of my hedge fund career working with Victor Niederhoffer I have taken a quantitative approach to researching and executing trading strategies. A quant trader is a trader that builds statistical models to test trading strategies rather than relying on intuition and experience. Today we will look at the history of Quantitative Trading from 4000 years ago up until the present day. We will discuss the contributions of people like Ed Thorp, Victor Niederhoffer, Mike Adam, David Harding, Martin Lueck, David Shaw and James Simons.
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James Simons Video: • The Story of James Sim...
Sell In May Video: • Sell in May And Go Away?
Books Mentioned In Video:
My Life As A Quant - Emanuel Derman amzn.to/3vGW0HT
Education of A Speculator - Victor Niederhoffer amzn.to/3b3Gtdh
A Man for All Markets - Edward Thorp amzn.to/3xOqlq0
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You are not dry but ARID !!
☹️
Hey man can you do a video about the quant quake of 2007 and how GS quantitative principle investment fund lost more than 100 billion dollars in a few weeks
Good morning professor. I'm training to be an engineer, but I feel the real education happens here.
Excellent Patrick, keep them coming! (I hit the dislike button twice!)
I noticed everyone applauding the knowledge that you bring to every video but are they all missing how hilarious you are. The dry humor is a big part of why I watch your stuff. Don’t ever stop.
".... and instead became rich. Sometimes things just don't work out for you." - That's gold Jerrry, Gold!
100% agree, makes it more entertaining
My gourd, pulling up that old video of the guy just about to be debunked by James Randi, and the list quip, "How else will I learn" are priceless. Come for the detailed analysis, stay for the laugh out loud humor. (Moonlights as the CEO for Goldman, omg)
disliked and unsubscribed ;-)
His jokes are awesome and I'm pretty sure that people notice them. It's just not necessary to talk about it in the comment section.
It is just incredible to me that concepts of Trend Following and Mean Reversion are so ancient.
Yet still valid
Are you talking about trend following?
@@gidsmono8044 yes
@@Arsbars1 thanks. The reason I asked is because someone was recommending I do all my trades on trend following alone.
Its amazing, I personally have built tools around these two concepts considering and consider my techniques somewhat nuanced, however they really are concepts that have been tried and tested for thousands of years.
Been on youtube for over 10 years , this is probably my first comment ever.
Gotta thank you for every single video you upload , very informative and the humor inbetween makes me laugh everytime.
Keep up the amazing work !
"Of course today we have the counterexample of George Soros, who wanted to become a philosopher but instead become rich. Sometimes things don't work out for you" this is the type of failure that I want in my life"
I like how he makes jokes with a straight face.
You, Monsieur, are a well educated individual.
he got me there
he made me laugh out so loud everyone thought i was watching a skit. They came to see and were very disappointed
Patrick really showing us he is a man of culture by showing he reads Feynman on the side.
You spill your wisdom on us, dear Patrick!
W•H•A•T•S•A•P•P
+•1•8•5•7•3•4•2•9•8•7•1•
I•n•v•e•s•t•inC•r•y•p••t•o
B•T•CA•N•D•E•T•H...!!!!
As much as I want for you to make more videos, I’m glad you don’t destroy your channel with a constant barrage of new ones.
Tbf I think his day ‘jobs’ teaching at King’s Business school and running a quantitative hedge fund (Palomar) keep him sufficiently busy not to saturate his channel.
@@damianchang6439 i don’t think he works at palomar anymore
I agree quality over quantity is better. There's so many channels that just constantly churn out new videos but don't teach you much as they're focused on gaining views, subscribers and more advertising revenue. Patrick's videos are pure gold to investors or people just wanting to learn about economics and understand how financial markets and trading works from an economists prospective. He could do well with making an exclusive video series teaching people about macro-economics and the fundamentals of trading using his quanitative approach, I'd certainly pay monthly to watch that as Patrick is a good teacher and you can learn more easily from him than reading books.
No 1:Don't only hope on government for income, No 2: As an individual look for different self income not only waiting on monthly wages No 3: Always save the little you can and think of what to do with it when it becomes good for capital It's 100% Good to have different way to gain income government has failed us so let's try to survive
Most intelligent word I've heard
today
Wow!!! Imagine trading and stocking up bitcoin from now till then!!!
Stocks are good too
Alice Johnson !! My friends trade with her,I heard her strategies are really good
@Linda Jennifer How do I trade with her I'd like to invest in Bitcoin so I won't regret once it climbs again like I'm now
😔😔
So true. Creativity is the key to find good trading ideas. I heard about one student who managed to "borrow" a Bloomberg Terminal in a library and started to analyse the movements of all oil-ships that was moving from one place to another. He managed to see a pattern of the movements with the Crude Oil-price and started to trade his own savings with CFD's on Crude Oil. He sat in this library day in and day out as soon as the computer was available. He became a millionaire after a few months and got himself his own Bloomberg Terminal later on. Pure creativity there!
I counted the number of words spoken in 15 minutes on CNBC. The more words spoken the likelier we were at a top and vise versa. I also set up a decibel meter. The louder the show the more likely a top was in place. I also converted candle stick charts into musical notes and had a concert pianist "Play the Dow Jones" . Very effective for finding tops and bottoms. That's what creative thinking s all about.
I'm having a proper binge since finding Patrick. Great videos!
Your explanation on quant trading and why it appealed to you at the beginning of the video really resonated with me. You have very strong articulation skills; I appreciate the video.
Jeff Bezos was a quant if I remember right. That didn't work out so he started selling books out of a garage.
That was top class. Could have listened to hours of those fascinating tidbits of financial history. The Japanese Rice "Futures" blew my mind.
That ending, I liked and am buying your book tomorrow
Ser history of trading is needed more ; please more ser
I would watch a movie called "Revenge of the Quants" all about their zany antics and attempts to get a peak at that juicy TA.
@Jacob Hargrave I feel like I need to clarify because I didn't think Revenge of the Quants would have google hits. He had a picture of the cast of "Revenge of the Nerds" (1984) representing the early Quants. The movie was a cheesy and full of nerds spying on sorority girls. I tried to make a pun but I am not a smart man.
@@MarkusLaumann I got it… you had to have known about the film “Revenge of the Nerds” to understand your pun tbf lol
You're the only Channel I've found in finance that I feel is worth subbing to. I have a total of 4 subscriptions and two are family.
Another great video. I started out as a commodities trader in my early 20's (20 years ago) and I now know that I was a quant trader. At the time though, I had zero experience of markets or trading and I wasn't aware of how anybody else did it. It just seemed entirely logical to look for correlations in data, so that's how I traded. I was astonished to find out as I later got to know traders in other companies that many didn't even use an excel spreadsheet, they just relied on gut instinct.
I would like to work with you on algorithmic trading
Thank you for posting this. I’m an undergrad student majoring in CS/mathematics with a significant interest in the finance world, so this is the exact explanation and dive into quant traders I was looking for. Thank you
Same but my major is math. Now I'll look up all the people I dont know xaxa.
I would like to work
with you on algorithmic trading. I believe I've cracked the code
@@rhs5683I would like to work
with you on algorithmic trading. I believe I've cracked the code
great history lesson on quants, I haven't seen a deeper knowledge on yt. keep up the great work , love the jokes, puns, and jabs as well.
Loved this historical account of QT Patrick. Very nicely done!
Sir, Good Content... always excited to see your videos!
“We also learn the importance of backing up your data” 😂
I dealt with a lot of inexperience and struggle with a series of recurring losses during my rookie days trying to find good footing in the market. I earn almost thrice what I was making even more with the help of my advisor.
Wanting to get into the market myself but I have no knowledge of it and how is it that you’re earning?
I wouldn’t want to have someone handle my trades for me. I think I’ll get a hang of it along the way.
@@alexpavarde8698 Reaching such a conclusion involves hindsight. You can’t go into the market with half baked knowledge and not expect to lose money down the line. Mentoring has always given me an edge in the market, at least while I make profit.
@David Bucker Sure he is! Joined his platform a fortnight ago
Love your sense of humor... great wit helps a lot in making such deep research even more memorable, thanks!
This is amazing. I can’t believe all this goes back so far!
The history of quant is very fascinating to me. Thank you for making this!
I am not sure what I love more, information that you are giving us or your senses of humour ;)
You wright some of the most informative comedy sketches I think I've ever seen. I don't know how you keep a straight face through some of them punch lines, but the deadpan delivery is masterful. Sound info too! :)
Seem's I'm a year late to the party with the top comment here. (I thought this was a new video of yours as it just got recommended to me). Still funny AF tho mate. :)
Exceptional content! 👏 Thanks Patrick
Patrick who would dislike your content !!! you are a financial encyclopedia on feet :) if only i found you when i was in my 20's i would definitely changed my career, but anyway im trying to do so now in my 30's all respect to you my friend.
I asked in the live chat but I think my questions may have slipped by. If you could, I'd like to hear your side on this.
1) Do you believe quant trading strategies (particularly HFT but other forms of algorithmic trading as well) should face restrictions in the form of latency restrictions or fees/taxes imposed on large amounts of trades? It seems fundamentally unfair that those able to straight up purchase advanced software and hardware next to the exchange get to automatically frontrun trades and continuously extract wealth from the market, with quite simply no way for the average investor to compete or level the playing field. IEX is a start, but it would be lovely if machines manufacturing money, as Ken Griffin called his company, did not exist, don't you think?
2) On the subject of risk - do you believe, in critical market conditions, quantitative trading strategies can compound the problems of forced deleveraging, mass sell offs, low liquidity or other such atypical circumstances? With the amount of leverage currently circulating in the financial system (which is downright terrifying as the computers have continuously pumped as much as they are allowed to generate gains), forced deleveraging accentuated by algos frontrunning each other could seriously make the next crash the worst we have yet to see. This is in my opinion, of course, but some other doomsayers such as Michael Burry also believe excess leverage and asset price inflation could go awfully wrong, awfully fast. Algorithmic trading could exacerbate this problem, as it has in the past.
3) Do you believe algorithmic trading can create circumstances that should not usually exist as the algorithms are left to run on "autopilot", creating situations that are what I almost certainly believe were machine made - think GME with its 140% short interest. Someone punched in numbers that implied a high likelihood of default on corporate debt and subsequent bankruptcy, told the machines to sell calls and short shares as much as they could, and then when the black swan event happened more shares were owed than could possibly be purchased back - simply because the open interest of ITM calls + short shares exceeded the number of free trading shares legally issued by the company. The algorithm doesn't care about that - it does what it is told, obeys its parameters, and if the person who inputs the data makes a mistake, the sheer efficiency of the machine makes that mistake exponentially larger. Garbage in, garbage out.
Another great video with no fluff approach and full of informative topics. Keep up the great work Patrick.
I hit all the like buttons, and would hit many more if I could! I always learn massive amounts of fascinating new info from every video. Thanks a million, Mr Boyle!
Your videos are in a class of their own 😊. Great content. Perfect delivery. Thank you!
Simply some of the best videos out there.
9:26 That font size observation is next level!
I did a little quant research as a response to this video. Turns out it takes 305 likes and 129 comments to cut out the Gamestop questions on each video. Hi Stephen!
Patrick we like u also in Brazil.......
Fale por você. Tenho um desgosto enorme por quant trading. É basicamente a ciência de criar um programa e comprar infraestrutura pra roubar dinheiro legalmente.
Bem vindos mondo realmente....
Patrick, I love the videos you make! They're informative, critical, witty and very funny sometimes. I with you'll get more subs. I already shared your channel's link with my friends and talked to them about it. Keep it up!
So much value in such a short video
My first time watching... i subscribed. Great job!
Technical analysis, like any numerological method, at best can be applied to predict an immediate event. Time sweeps away the wash of a butterfly’s wings.
Fantastic! Always fun to watch your videos.
Nice Patrick Boyle - my compliments for that neverending effort - the strive for excellence. Those fragments from the film Wall street fit in just perfectly with the narrative. In that line of thought would you consider to get Charlie Sheen as a guest, I am sure it will be appealing to everyone - the two of you discussing life in general,investments choices, how he prepared and got into character for his part in the movie and so on! And if I may add I think sometimes Patrick you also get in character.
Thank you for this short wonderful history and overview and examples of Quant Trading. It gives a look into the depths of the intellects of those who came along and created it. Actualized imagination is a wonderful thing. If you got it, flaunt it!
I loved this video. But I loved even more that you got the second desk plant :D
The price for that plant was Ray Dalio's book, which isn't there anymore. 😭
I've won... but at what cost?
Good history . I was a broker to AHL in their start up days when they worked with Rudolf Wolff . They were pattern recognition in the beginning.
Interesting
Thalus began Options or Futures trading. Nice quantitative finance vlog Sir. Homma is a legend for most of us in trading world.
You look like a movie character, with one hand over the table explaining the situation to someone and with another hand under the table holding a gun.
The real man talking here
Really enjoyed this one!
First time I am seeing a youtuber say "Click the dislike button" if you didn't like the video. Wow! Major props.
Another Patrick Boyle video. I check your channel way too frequently for new videos :)
thank you for making this video
Thanks Pat. Very interesting and extremely well researched material.
Very good stuff. As always, Thank you for the video
Excellent video and brief history, many thanks!
Superb episode. Classical, empirical and subjective analysis must all be used together.
Thumbs up ratio to views is indicating you could make more money in youtube than managing money in the next few years...
- video requests-
dark art of calling market tops ? might come in handy soon
where is mmt taking us
😄... I love those jokes inbetween. Especially how u say them with an un-telling expression 😄
I am very impressed with this channel...
Love your content, I've been going through a lot of (positive) life changes recently and content like yours helps me see the world in a more modest way. Thank you.
@@patrickboyle315 you sound just like the guy in the video
PB: "How else will I learn"
Me: Thumbs up. Learn from that!
lol
I love this video so much. I have spent a few years trying to focus on this exact subject.
The quality improvement since Sell In May video is huge. I wish my gains was also so huge ;)
I have a question. The Herbalife debacle, what did Bill Ackman/Pershing Square misunderstand about the business? It's interesting to me because Ackman has so often seemed ahead of the curve except but this one instance he dug in for about 5 years, endured not insubstantial losses and reputational damage as a result. Since then Herbalife has largely traded around the same price while Ackman has done very nicely.
I'm fascinated by quantitative trading, despite having a university degree in business and over 10 years experience in trading and investment I knew absolutely nothing about it until I started watching this channel. Quantitative trading would seem to suit my personality perfectly as I like collecting and analysing data and coming up with new ideas to do an analysis and using data to create new signals and apps. I'm a data/facts geek and also a programmer 😁
I was surprised that you didn’t include the clip from the “Big Short” with that one salesman’s “quant”.
"Look at him. Look at his face."
@@1337JHL yep!!!! I went back and found the clip to refresh my memory. The Jenga scene..
PAT, YOU'RE A GENIUS. PLEASE EXPLAIN IF POSSIBLE HOW STOCK LIKE TESLA IS ALLEGEDLY HELD UP WITH OUT OF MONEY CALL OPTIONS. CHEERS AND ADMIRATION.
4:12 "Sometimes things just don't work out for you." My heavens, that's hilarious!
An amazing wealth of knowledge and information, grateful, sincerely :)
I’m more a discretionary trader myself, taking an event driven / special situations strategy to make large directional bets using equity options
😏
How do we know that the strategy has become old and stopped working
Great selection of books! “Surely You’re Joking, Mr. Feynman” is my favorite book of all time!
great video Mr.Boyle, IT WAS A GREAT JOURNEY THROUGHOUT HISTORY...
This video taught me that the CEO of GS is also an edm Dj...just listened to some and they're actually good songs LOL 😆 💀
I'm so happy I found you through the plain donut
thank god sound quailty is awesome
professor, you are wonderful.
The Japanese warrant boom was also an important factor in the growth of Quant funds
Patrick, I would love to talk to you about your quant trading. I LOVE it, but got out bc I felt it was too costly to get a cutting edge execution and alternative data. You really need to start with 30-50M just to have a profitable organization. That being said, I love it with all my heart.
Oh, so look who finally uploads an actual *new* video.
None other than Richard, taking time out from the Crystal Maze.
Thanks 👍🏼
Thank you Patrick Boyle! I learn a lot from your videos.
excellent as always. Thanks
Hey man I have a great video topic recommendation for you. The 2007 quant quake and how it almost burried quantitative investing. Goldman Sachs and quantitative hedge funds like renaissance lost hundreds of billions in a few weeks time because they al consentrated there investing in a few stocks with the same 13/3 quantitative investment strategy.
I just want to open a new CZcams account and subscribe to your channel again... great work professor.
This is your best video thus far !
Thanks Patrick, another great video.
Regarding trading using the movements of the planets, there is some evidence for this. Our wheather is to a large extent governed by the 11 year sun spot cycle which causes the El Nino phenomena to name but one. The 11 year sunspot cycle is governed by the movements of the planets and so, by understanding the planets one has an edge with Ag trading, again, to name but one.
Love your use of the Wizard of Christchurch .... Haven't seen him since the earthquakes down there
My algo is simple… stocks only go up.
amazing how you compile all these information
Prof you need to get on insta and tik tok as well. You're missing out on a lot of potential subs and people are missing out on jewels of info presented by you. Loss for both you and people. We need more sane people like you in this part of social media.
Lunchtime here!! great video!
I just love your videos, especially the subtlety of the humour
I back tested Japanese candle stick patterns, they are a great visual, but dont provide any edge in the markets.
What about the hammer and inverted-hammer?
@@limjian7638 nope.
There is no statistical edge in any product I have traded. It may add weight or psychological weight to continuation, but as a raw piece of data, not really.
It just says that in that candle, single time frame, there were more of buyers than sellers or vice versa.
However you do see them more often on the edges of Bollinger Bands, so paired together that could work.
Amazing video! Also the dry humour is awesome!
I have written neural network predictive models and found the market is immediately crazy and do not see any future events. All these Quants have an edge in their brain and they are the asset. They write their edge in code and make money; the market can be coded.
For about six weeks. Then the model breaks