It’s already 2 months after I checked in with my manager. On one hand, I am sorry for the delay of this blog, there are a lot of reasons, huge work load, tons of learning, frustration about how ignorant I am in this field and my procrastination. But on the other hand, I am glad that I have the chance to write this blog at this time because I have a completely different answer from what I would say if I wrote this blog in the first week of this internship.
I work in a quantitative trading company and most of my job is to clean new dataset, and test hypothesis by coding. I have been modeling the trading data since freshman year, using Chinese data, have never stepped into US data before. I always what to learn more complex models and hope to find something which never been found by anyone else. One of the goals, if you ask me 2 months ago, I would say to learn the ‘secret models’ they are using in the business. But now I know, less is more, simple is powerful. Now I will be happier if I can find a useful strategy by only using four fundamental arithmetic operations (+,-,*, /). There are too many models you can ever learn in the business, but the simple ones are always the most stable and useful.
Before this internship, I always believe that this business is always about single persons. If there is a brilliant researcher who creates an edge-cutting model, it will boom the performance of the whole portfolio. But it’s not the same case in the reality. All new strategy will be simulated with the old ones and even if your new strategy works it’s very likely that the information it obtains has already been explained by other 100+ strategies in the portfolio. Yes, an individual will affect the performance, but it really takes a team to run a portfolio. So my goal now for what I want to accomplish for this internship has changed from creating an awesome strategy to finding a strategy that’s less correlated with the existing ones even the stats of the performance is not very good.
By reading what I just wrote, I notice the blog reads like a conclusion blog. I did not intend for that, and I am pretty sure since my understanding of the business is changing very frequently I will adjust (or make it more detailed) the goal I want to accomplish during this internship. To sum up, so far the goal I set is: 1. Generate a score that works for the portfolio; 2. Learn to work with the team.
For what I want to gain from this intern, to be honest, first a good experience I can write on my resume; secondly, I want to know what I should know or how I should prepare myself if I want to find a job in this business after graduation; third, I want to earn some pocket money and go travel using the money I earned myself. And after 2 months I am sure that all these three goals are accomplished.