This is the 5th edition of the Alpaca Newsletter for Quants & Developers where we will update you on market & research as well as industry job openings and internships, along with Alpaca’s products and community developments.

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Tweet of The Week

Alpaca Updates

  • Update on user dashboard: hotkey “/” to focus on the search bar
  • SDKs and packages have been updated
  1. Pylivetrader - [Source] / [Github]
  2. Backtrader - [Source] / [Github]
  3. JS SDK -  [Source] / [Github]
  4. Go SDK [Github]
  5. python SDK has been already released last week. C# SDK update is coming
  • Technical Indicator API - Some members of the community have been discussing about this topic, share your view! [Source]

Market News

  • Blown-Up Trades at Heart of French Banks Erase $1.5 Billion - BNP Paribas SA, Societe Generale SA and Natixis SA all saw revenue from equities trading wiped out in the first quarter by heavy losses on complex derivatives, an area of traditional strength. Most of their rivals navigated the market panic more successfully in the wake of the outbreak, posting double-digits gains from the same business [Source]
  • The Fed Will Buy Bond ETFs Now - The move will be a historic milestone for the Fed, which hasn’t bought ETFs previously. The central bank, recognizing it would take longer to buy bonds, saw ETFs as a fast way to direct money rapidly into credit markets, said people familiar with the matter. The Fed will buy corporate bonds through the facility in the near future [Source]
  • Quant hedge funds struggle to cash in on virus volatility -  While some quant funds showed modest signs of recovery last month, man is still beating machine in 2020 [Source]
  • Building Terminators: Massive hedge funds like Man Group, Bridgewater, and Schonfeld lay out their vision of the right 'quantamental' mix of humans and machines [Source]

Research Updates

  • Calculate strike from Black Scholes delta - I have a list of deltas and their corresponding volatilities in an FX market but I want to go from delta to strike price. In this Question similar problem is being discussed [Source]
  • YTD Performance of Equity Factors – Update After Two Months [Source]
  • Forget Determinism, see Randomness in Action: How to Model Stock Prices - Geometric Brownian Motion in Python with Matplotlib [Source]
  • Which process is the most commonly used for modeling stock prices? - I'm thinking of writing a master's thesis about pricing options using Levy processes, but I wonder if these processes are actually used for modeling stock prices or not (and which specifically)? And if not which ones are used? [Source]

Job Updates

  • Diversity in quant finance: Examining the route to progress - The role of the quant has changed immensely over the last 15 years. Today, those in the industry need to be clued in on mathematics, economics, and trading, while drawing on a diverse range of skillsets to build the industry’s capabilities in machine learning. Various studies have concluded that diversity, whether it is gender, socioeconomical, or cultural diversity, contributes to an organisation’s bottom line. But is there something about quantitative finance that obstructs progress? What can you do to improve diversity and inclusivity within this industry? [Source]
  • AVP, Quantitative Strategist - GIC - San Francisco [Source]
  • Quantitative Researcher - Pantera - San Francisco [Source]
  • Data Scientist - Wish - San Francisco [Source]
  • Quantitative User Experience Researcher - Google - San Francisco [Source]