Episode 65: Chaos Theory, High-Frequency Trading, and Experimentations at Scale with David Sweet

Datacast

0:00

-56:47

Episode 65: Chaos Theory, High-Frequency Trading, and Experimentations at Scale with David Sweet

James Le

May 30, 2021

(01:59) David recalled his undergraduate experience studying Physics and Mathematics at Duke University back in the early 90s.
(05:55) David reflected on his decision to pursue a Ph.D. in Physics at the University of Maryland, College Park, specializing in Nonlinear Dynamics and Chaos Theory.
(10:18) David unpacked his Nature paper called “Topology in Chaotic Scattering.”
(14:43) David went over his two papers on fractal dimensions in higher-dimensional chaotic scattering following his Nature publication.
(21:42) David talked about his project K Desktop Environment, which provides a free, user-friendly desktop for Linux/UNIX systems (later turned into a print book with MacMillan Publishing in 2000).
(24:20) David explained the premise behind his work on Andamooka, a site that supports open content.
(27:24) David walked over his time as a quantitative analyst at Thales Fund Management after finishing his Ph.D.
(30:50) David discussed his 4-year stint at Lehman Brothers — moving up the ladder into a Vice President role, up until Barclay’s Capital acquired it.
(33:24) David talked about his proudest accomplishment during the 5-year stint as a headdesk in equities trader at KCG/GETCO.
(35:37) David shared war stories while working at an investment firm called Teza Technologies and co-founding Galaxy Digital Trading (specializing in cryptocurrency trading).
(41:34) David unpacked key concepts covered in his guest lectures on optimization of high-frequency trading systems at NYU Stern School of Business.
(44:26) David explained his career change to work as a Machine Learning Engineer at Instagram in the summer of 2019.
(47:17) David briefly mentioned his transition back to a quant trader role at 3Red Partners.
(48:05) David is writing a technical book with Manning called “Tuning Up,” which provides a toolbox of experimental methods that will boost the effectiveness of machine learning systems, trading strategies, infrastructure, and more.
(50:48) David reflected on the benefits of his physics academic background for his quant analyst career.
(52:27) Closing segment.

David’s Contact Info

Mentioned Content

Publications

"Topology In Chaotic Scattering" (Nature, May 1999)
"Fractal Dimension of Higher-Dimensional Chaotic Repellors" (June 1999)
"Fractal Basin Boundaries in Higher-Dimensional Chaotic Scattering"

Book

“The Elements of Statistical Learning” (by Trevor Hastie, Robert Tibshirani, and Jerome Friedman)

People

Jim Simons (Founder of Renaissance Technologies)
Michael Kearns (Professor at the University of Pennsylvania, previously leading Morgan Stanley’s AI Center of Excellence)
Vasant Dhar (Professor at NYU Stern School of Business, Founder of SCT Capital)