Monday, July 31, 2017

Quants and Data Monkeys

From Victor Niederhoffer's Daily Speculations:

Quants: Another Form of Faith? from Bill Rafter
July 12, 2017
In our shop we consider ourselves "data monkeys" rather than quants, hoping that the disrespect of the moniker will limit wannabees. But if it looks like a duck and walks like a duck…

The problem of ever changing cycles/ figuring out the current regime/ the Church of What's Working Now is solved by most in a brutal fashion rather than a subtle one. Suppose you drive an old car from sea level to say 12,000 feet and it struggles. You could lift up the hood and tear the engine apart. You could also make an air-intake adjustment. Both methods work.

We data monkeys believe that the only things that count with regard to markets are sentiment and momentum. That is, it's all behavioral, and it's reasonably efficient. Sure we like to comment on fundamentals, but the fundamentals to us are only important because they influence the behavioral. When a market has been moving in a certain regime, sooner or later a market Watcher gets the inkling that a change is afoot. His action or inaction will disseminate exponentially to others, and then the regime really will change. The key to keeping up with this is to watch what the Watchers are watching....MORE
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