When I first entered the industry, I had the training of a theoretician but was presented with the tasks of an engineer. As a theoretician, I had worked with models using pen-and-paper or simulation. Where the model had a parameter, I—the theoretician—would try to understand how the model would behave with different values of it. But now I—the engineer—had to commit to a single value: the one to use in a production system. How could I know what value to choose?
The short answer I received from more experienced practitioners was, “Just try something.” In other words, experiment. This set me off on a course of study of experimentation and experimental methods, with a focus on optimizing engineered systems.
Over the years, the methods applied by the teams I have been on, and by engineers in trading and technology generally, have become ever more precise and efficient. They have been used to optimize the execution of stock trades, market making, web search, online advertising, social media, online news, low-latency infrastructure, and more. As a result, trade execution has become cheaper and more fairly priced. Users regularly claim that web search and social media recommendations are so good that they worry their phones might be eavesdropping on them (they’re not).