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Research: Questions and wishes

Tribe,

I'd like to use some of my Coursera CompFin python in the research platform, ten or more *.py files that implement my custom object model for event analysis. What is the specific format to include objects/functions from separate files within a research notebook?

This obviously doesn't work:

# QuantFin modules  
from Utilities.Utilities import *  
from Portfolio.Portfolio import *  
from Portfolio.PortfolioUtilities import *  

where these are files I've uploaded into my root notebook area.


QTSK code from the Tucker Balch class would be nice to have; any idea if importing those modules is possible or could be possible?


Separate forum for Research Platform? Or a division of some sort? Some means of logical separation? This forum is becoming one big code mosh pit.


Research analysis is becoming a controversial topic with regards to what institutional banks / brokers / funds provide their clients. What if any of it can be considered gratuities, compensation or perks. And the seemingly growing trend to isolate the research arm from the trading arm. Say I create some notable research here and want to sell it. Is the Q considering accommodating such capabilities?

4 responses

Regarding uploading and then importing code, I'm not aware of a way to do it.

When you say "Is the Q considering accommodating such capabilities?" are you thinking that the selling of research reports generated in part or in whole using the Q platform would go against the terms of use? Would they expect/require attribution?

Ultimately, for a quant, it may be more lucrative providing topical timely market research than trying to win some contest or solicit funds from the 1%'ers. When I contracted at H&Q the top analysts there made millions building up statistical (and not so statistical) analysis on sectors, segments or news (I built an intranet webapp for them that automated the publishing of their research to the street.) Even now I'm working with a broker who does nothing but analyze (primitively mind you) the futures markets and write up his so-called analysis for sale to his farmer/raw material industry clients (I built a simple yet powerful market data parser tool to help his signal discovery (ema(close[0:21] > max(high[5:21]) and rsi(close[0:14]) > 55 -- that kind of thing.) And I'm sure you've heard of SeekingAlpha -- where much of their published output is tech-analysis + gutfeel + stats. So I know that quality research is in high demand.

I'm not sure what the Q is thinking on this research platform aside from just supporting the strat quants with a way to perform algorithm discovery / exploration, but, it may turn out that it could be used as a research publishing platform. I was just tickling its nose with a bit of innuendo to see if it sneezed. I'm not sure of the ramifications of the monetary side of charging for work done on this platform; I thought I'd bring it up.

Any idea what the market would pay for such research? I think the problem is that if you start with a blank sheet of paper and carry out original research, digging into literature, working through math, coding, analyzing, etc. it takes a long time. Even if someone showed up with a paper, and said "Analyze this. Will it work?" it could be an ordeal. Let's say you were given a project of modest scope, and you could get it done in 40 hours. To actually make money as a business, perhaps you'd charge $150 per hour at least (the figure should probably be more like $300 if you are applying actual world class subject matter expertise). So, the exclusive, custom report would cost $6000-$12,000. I'm guessing at this level, the market would have to be institutional, or maybe a firm that would then re-sell the report across a broader market (e.g. at $500 a pop via a website download).

As far as Q is concerned, my guess is that this would be a distraction for them, not scalable as a business, although I could see offering tiered access to research tools and data. For example, my read is that they won't be able to support high-performance computing without charging. And certain custom data sets would be accessed via payment, too. If one were setting up a consulting business, it might make sense to pay for such premium Q services. Again, though, would it make sense if only a handful of users would pay?

One problem I've highlighted to the Q is that they have not revealed the source of the trade data provided, and the detailed methodology by which it was acquired. So, for peer-reviewed publications, this could be low-hanging fruit for rejection. I would be reluctant to put work into a publishable article, until they provide the background.

There are one-offs and recurring research publication opportunities. I tend to focus upon the recurring style. I once built a beefy COT report for all commodities, that I published once a week COT Report. My algos that consumed the time series and COT data was unique and proved true insight to those who cared. That's the kind of research I favor. But to me even one-offs can be switched to be periodically re-run to produce updated information. Yes new verbiage would be required as interpretation but once the analytic work is done, the qualitative analysis should be straightforward. But, you're right, for the Q it would probably be a distraction.