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macrocephalopod's profile
macrocephalopod
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@macrocephalopod

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macrocephalopod

@macrocephalopod

Paul Allen, Vice President M&A, Pierce & Pierce (Sie/Hir) | Vegan | Silence is Violence | Women’s Rights Are Human Rights | ACAB (Assigned Cephalopod At Birth)

Joined December 2020

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    1. Robot James  🤖 🏖‏ @therobotjames 10 Mar 2021

      Robot James  🤖 🏖 Retweeted Mitchell Rosenthal

      I'm nearly always trying to predict continuous alphas. The problem I'm generally trying to solve is: "What maximizes risk-adjusted excess return after txn cost, given expected vols, co-movements of assets, and my estimate of transaction costs"https://twitter.com/M1tchRosenthal/status/1369774884834934788 …

      Robot James  🤖 🏖 added,

      Mitchell Rosenthal @M1tchRosenthal
      Q about modeling. How do u decide betw using something as a continuous variable, or a dummy variable (either 0 or 1)? Let's say Im modeling futureReturns. A potential feature is currentPriceDistance from50dayTrend. I could use a dummy, 1 if distance>thresh,else0. @therobotjames
      Show this thread
      2 replies 6 retweets 41 likes
      Show this thread
    2. Robot James  🤖 🏖‏ @therobotjames 10 Mar 2021

      This is the generic trading problem. The "trades" are just the deltas between the exposures spat out by that cost-aware optimization. This means that the "alphas" ultimately look like a continuous forecast of (risk-adjusted) expected returns (usually relative returns)

      1 reply 0 retweets 16 likes
      Show this thread
    3. Robot James  🤖 🏖‏ @therobotjames 10 Mar 2021

      This is nice because your trading model is already set up. Your researchers just need to go looking for new alphas. @macrocephalopod probably has more colour to this (and your question.)

      2 replies 0 retweets 9 likes
      Show this thread
    4. Mitchell Rosenthal‏ @M1tchRosenthal 10 Mar 2021
      Replying to @therobotjames @macrocephalopod

      Thank you for this, your robot-ness! Makes sense and confirms what cephalopod was saying

      1 reply 0 retweets 1 like
    5. Robot James  🤖 🏖‏ @therobotjames 10 Mar 2021
      Replying to @M1tchRosenthal @macrocephalopod

      That octopus really knows his factor models...

      2 replies 0 retweets 1 like
    6. Mitchell Rosenthal‏ @M1tchRosenthal 10 Mar 2021
      Replying to @therobotjames @macrocephalopod

      Yes, and the knowledge you all have is amazing but also intimidating, Im frightened by what I dont know and think I need to hit up more fundamentals, any resources you like in particular for this trading-oriented stuff?

      1 reply 0 retweets 1 like
      macrocephalopod‏ @macrocephalopod 10 Mar 2021
      Replying to @M1tchRosenthal @therobotjames

      How old are you, like 22 or something? You already know way more about finance than I did when I was your age.

      3:21 PM - 10 Mar 2021
      • 1 Like
      • Will
      1 reply 0 retweets 1 like
        1. New conversation
        1. Robot James  🤖 🏖‏ @therobotjames 10 Mar 2021
          Replying to @macrocephalopod @M1tchRosenthal

          💯 Your depth of knowledge, pragmatism and quality of the questions you ask is extremely impressive. I'm 40 and still have no idea what the fuck i'm doing...

          1 reply 0 retweets 4 likes
        2. Mitchell Rosenthal‏ @M1tchRosenthal 10 Mar 2021
          Replying to @therobotjames @macrocephalopod

          24, and about to hit the job market this May *gulp*, hungry for anything trading related that is salaried so I can gain independence, but really want my knowledge to be up to snuff. You guys are invaluable 🙏🙏

          1 reply 0 retweets 3 likes
        3. Show replies

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