About

These are my musings about strategies, statistics, computer science, numerical techniques, etc.    I am a quant / developer, now trader, living in the New York area, just back from the UK, where I headed an algo pricing & strategies team.

I arrived here via a twisted road.   To be honest, I never had any intention to join Wall Street.   My area of study was parallel computing and physics.   I got involved with Lehman Brothers in 1992 as they had a joint research group with American Express researching Neural Nets, VR, Parallel Processing, and Voice Recognition.   I joined the Parallel Processing group as a consultant.

We developed approaches for the parallel evaluation of financial models such as:  a prepayment model for CMOs and later HJM for exotic path dependent interest rate models.   Gradually was pulled into the business.   I went to Tokyo in 1994 with Lehman and was thrown in the deep end of the pool to learn the IR derivatives business.

So I was sucked into it.   The problems were interesting and the software on wall street was still nascent / bleading-edge.   Things changed gradually, I tired of it, and left the street to pursue other interests — for a while.

The idea of systematic trading always appealed to me.   I had the opportunity to do this with a firm in 2004.   I love the fact that it pulls the best of mathematics, computer science, market knowledge, and creativity into one package.   Thus it has been my focus for the last 10 years — now a career.

Can be contacted at:  jonathan.shore at gmail.com

23 responses to “About

  1. Steve

    Just found your blog recently and have been glued to my computer since. I very much enjoy reading your insights and was particularly fond your piece on equity clustering from last December. Very nicely illustrated and practical piece.

    Thank you for the great work,
    Steve

  2. I was looking for your e-mail address to discuss a couple of in-depth topics about strategy development. If you are interested, you’ve now got mine.

  3. Gary

    Hello,

    We spoke briefly before, in the comments I believe because I can’t seem to find your e-mail addy now. Shoot me one if you have a chance

  4. grant

    just found this blog, I look forward to reading through all the previous and posts and new ones.

  5. Thank you very much for writing this blog. I never expected to enjoy learning about finance, but your writing is too lucid to resist. Have you considered publishing a book?

    • tr8dr

      Alex, thanks for the complement. I try to avoid using academic prose (took a few years to kick the habit). Anyway, a book would be fun, but alas no time.

      I took a look at your website (nice). Looks like you are doing some interesting stuff in machine learning. (are you at NYU)?

      • That’s a good reminder to update my website! I am at NYU, but machine learning has drifted to the back-burner since I started working on compiling array-oriented programs to graphics processors.

        I’m also taking a detour into algorithmic currency exchange over the summer (something I know very little about), so finding a clear CS-minded blog like yours has been a godsend.

  6. HFT is something we occasionally discuss on the podcast I co-host – TechZing (as I have a background in the field) and I would love to have you on as a guest to talk about your experiences. Please send me an email to let me know if you’d be interested.

  7. Harry

    Hi, I came across your site and wasn’t able to get an email address to contact you. Would you please consider adding a link to my website on your page. Please email me back.

    Thanks!

    Harry

  8. Jason

    ^likewise, I came across your website and did not see an e-mail address. I was wondering were could I contact you?

    Great Blog!

  9. Great blog!

    I just read that you are interested in Functional Programming and use F#.
    Here is an OCaml package of mine, which might be interesting to you:
    https://bitbucket.org/ogu/ibx
    Would be nice to get some feedback from you via email.

    • tr8dr

      Oliver, nice to cross paths with another FP enthusiast. Took a peak at your stuff, nice. I do use F# as opposed to OCaml, because of the .NET ecosystem. Have used other FP languages as well, but F# + imperative languages seem to provide the practical balance I need. F# is a bit weaker than some of the other FPL’s out there, but is, perhaps, more practical.

      Are you trading with this individually, professionally?

      • Oliver Gu

        No, I don’t use IBX for actual trading, because it is not mature yet.
        I developed this library besides my university studies because of my strong interest in automated trading in order to land a job in this field after graduation in summer.

      • Are you still a fan of F#? I am doing some system exploration in MATLAB, but am considering moving some of the more mature stuff to a functional platform for live trading. There are so many options, and so many proponents of each (F#, python (I count it lol), OCaml, Scala, Erlang, … haskell…)

        How well does F# target Linux for deployment?

        Love reading your blog back-posts, too bad it is not still active!

      • tr8dr

        Yes, still a fan. I use a mix of languages, but F# is one of them. F# deploys on linux with the same ease as a C# application. I use mono.

        As for the blog, I plan to get back to it sometime this year.

  10. Daniel

    Hello –

    I just found your blog and I find it a breath of fresh air to see someone actually using R as a programming language. I see you’re from an IR derivatives background; would you be open to providing some examples? The reason I ask is because I’m new to the area and I’m interested in all of the different approaches quants take.

    • tr8dr

      I can certainly answer any Qs you have about fixed income, however have not been doing anything in fixed income for quite a while (hence no recent posts there). I am more focused on equities, bitcoins, and a new asset class I have yet to write about.

      • Daniel

        Oh cool, well I’m looking forward to following your blog. Out of curiosity, from your experience, what kinds of term structure models were mostly used in a risk management perspective? Multi factor exponential Vasicek model? CIR ++? HJM? PCA within an SDE model? It just seems as if though that every paper I read or book I read there is always a list of pros and cons to a given model nothing concrete that says “this is mostly like the worst case scenario”. I understand that each respected market operates differently but it just never seems narrowed down. Kind of makes me think of cooking spaghetti noodles….just keep throwing noodles at the wall until something sticks.

      • tr8dr

        I’ve been away from IR derivatives for more than 10 yrs. So to be honest, I don’t know where the state of the art / practice is with respect to models. Usually there is no single model used. For example HJM was used for the most complex interest rate structures, but often a simpler model was used for more vanilla options.

  11. This is by far the most informative and detailed blog I have ever read so far! Thank you so much and hope you can keep it going. Have a nice day!

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out / Change )

Twitter picture

You are commenting using your Twitter account. Log Out / Change )

Facebook photo

You are commenting using your Facebook account. Log Out / Change )

Google+ photo

You are commenting using your Google+ account. Log Out / Change )

Connecting to %s