@quantbeckman

Books: https://xitter.cf/t.co/VH9p5RkhFQ Newsletter: https://xitter.cf/t.co/nrBv4yVmWa Platforms: https://xitter.cf/t.co/6nk8SdQ6Nw | https://xitter.cf/t.co/6eOukprKLO

Joined July 2019
  • Tweets4.6K
  • Following0
  • Followers13K
2.1KMedia
Hey guys! I’ve just released a refined, compact edition of one of my newsletter series on the foundations of quantitative trading. It is a theoretical introduction designed for aspiring quants who are beginning to explore the field. The focus is on first principles, method, and the conceptual framework behind quantitative trading. Link in the comments. I hope you enjoy it.
13
47
2
518
31,751
One thing is a portfolio that performed well historically and another to demonstrate that the portfolio-selection process will work out of sample.
Quant Beckman
@quantbeckmanOct 27
The problem is that the additional reward depends on price changes and sentiment, not on how much of each asset the agent actually holds or trades.
1
11
786
🟥For this one and more papers with code: quantbeckman.com
106
Previously, this was called an agent in trading
Quant Beckman
@quantbeckmanOct 26
Market mechanics > Fitting parameters
15
1,168
🎙️[PODCAST] Why I’m leaving QuantX🎙️
Quant Beckman
@quantbeckmanOct 27
The problem is that the additional reward depends on price changes and sentiment, not on how much of each asset the agent actually holds or trades.
1
1
9
717
quantbeckman.com/p/why-im-le…
1
1
158
The problem is that the additional reward depends on price changes and sentiment, not on how much of each asset the agent actually holds or trades.
Quant Beckman
@quantbeckmanOct 26
The authors acknowledge in Section 3.1 that the dynamic program uses the entire realized order-flow path of the evaluation day, including information that becomes available after each trading decision 😬 in other words, look-ahead bias
3
1
1
17
2,140
🟥For this one and more papers with code: quantbeckman.com
2
183
Market mechanics > Fitting parameters
Quant Beckman
@quantbeckmanOct 25
The jackknife method systematically evaluates the impact of each observation by recalculating the median after its removal <3
1
2
1
14
1,865
There’s only one reason I haven’t told X to fuck off. 🤣
Quant Beckman
@quantbeckmanOct 26
Auditor resignations are another data source because it can reflect governance and risks. Indeed, his job can be assessed as any other event. Here, the bearish setup carries high conviction when a resignation intersects with deteriorating liquidity.
1
1
9
821
Auditor resignations are another data source because it can reflect governance and risks. Indeed, his job can be assessed as any other event. Here, the bearish setup carries high conviction when a resignation intersects with deteriorating liquidity.
Quant Beckman
@quantbeckmanOct 25
Resolved filing delays create opportunities when the 10-Q or 10-K report numbers that match expectations. The long thesis strengthens once accounting issues are clear, and the stock begins recovering the NT drop. Here the entry triggers after the filing posts.
2
1
1
13
1,658
Check last year compilation here amazon.com/stores/Quant-Beck…
1
1
149
The authors acknowledge in Section 3.1 that the dynamic program uses the entire realized order-flow path of the evaluation day, including information that becomes available after each trading decision 😬 in other words, look-ahead bias
Quant Beckman
@quantbeckmanOct 25
Interesting interpretation for the Sunday morning. I only have to say that learning a representation of market microstructure is not equivalent to learning a predictive, economically useful, or causally accurate model of financial markets.
2
3
1
25
2,250
🟥For this one and more papers with code: quantbeckman.com
2
1
227
The jackknife method systematically evaluates the impact of each observation by recalculating the median after its removal <3
Quant Beckman
@quantbeckmanOct 23
These are the 3 reasons why you dont have an edge
1
4
1
15
1,730
Systematic macro hedge funds outperformed discretionary macro strategies in Q3 2026. But only by 5.7%... nothing impresive
Quant Beckman
@quantbeckmanOct 24
Nobody is talking about the broadest synchronized hedge fund losses since the pandemic, but anyone can have one bad day right!?
1
1
10
942
Resolved filing delays create opportunities when the 10-Q or 10-K report numbers that match expectations. The long thesis strengthens once accounting issues are clear, and the stock begins recovering the NT drop. Here the entry triggers after the filing posts.
Quant Beckman
@quantbeckmanOct 24
NT 10-K is like a disclosure-risk event. With it you can score the stated reason for delay (may accounting, expected resolution time, or management). Use it as a long-avoidance filter first, then short only when price and liquidity confirm deterioration.
2
3
1
14
1,951
Check last year compilation here amazon.com/stores/Quant-Beck…
1
3
239
Interesting interpretation for the Sunday morning. I only have to say that learning a representation of market microstructure is not equivalent to learning a predictive, economically useful, or causally accurate model of financial markets.
Quant Beckman
@quantbeckmanOct 24
The NFE achieves a Sharpe ratio of 1.49 against 1.45 for AFM using the same residual factors. This difference of 0.04 is too small to distinguish from sampling noise.
4
1
1
25
3,113
🟥For this one and more papers with code: quantbeckman.com
1
250
Nobody is talking about the broadest synchronized hedge fund losses since the pandemic, but anyone can have one bad day right!?
Quant Beckman
@quantbeckmanOct 23
These are the 3 reasons why you dont have an edge
1
1
1
13
1,614
Load more