Stat Arb
@quant_arb
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Gods Chosen Quant | DMs open 📥 (plz no essays) | @QuantitativeArb | Views my own. Not financial advice.
the orderbook
Joined November 2019
These roles often blend and researchers may implement under single person PM setups and very often traders will have their own strategies. In rarer cases developers will have their own strategies (have seen devs implement arb strategies for example).
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Trading desks (simple model): Researchers come up with the strategies -> Developers implement the strategies -> Traders manage and tune the strategies
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If you are an individual retail trader then you definitely shouldn’t compete with well funded institutional players but also if you want to work at an institution you need to play bigger games unless it’s just you and a couple others. There’s usually a much larger profit target
If you are retail trader: - trading tradefi stuff - especially liquid one - you have to worry someone is picking you fraction of basis point - because od orderbook imbalance You are certainly doing somethung you shouldn't...
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Retail imagines it as a big battle when really you could pick off most of retail using orderbook imbalance alpha, cross exchange awareness, and quoting around mid (as a base layer with a bit of alpha skew). It’s other trading firms you have to worry about.
Ken Griffin and Aaron Simons briefing Citadel and Virtu every morning before the NYSE open on how they are about to take money from ex-crypto and freshly minted retail stock traders.
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There are kids who will push themselves to the edge of a heart attack because of this sort of IB culture. "nah im a freak in the spreadsheets".
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Tbh I hate WSO like what do you mean "haha like your burnout". These are impressionable young strivers and you are trying to normalize the idea of burnout and working yourself to death. They have no idea the horrendous contribution they have on culture and the lives it affects.
I hate linkedin like everytime I open it I see Wall Street Oasis posting something like "guys is it okay for investment bankers to have a little bit of coke as a treat"
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I hate linkedin like everytime I open it I see Wall Street Oasis posting something like "guys is it okay for investment bankers to have a little bit of coke as a treat"
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Q&A open for now on the blog chat. 560 replies so far. Many questions answered! Great reading for those looking to access industry knowledge for free :)
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Some thoughts on how alpha is generated and how to find alpha. Available on the s**stack. Linked in bio.
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My core principles of alpha development are: 1) Iteration speed 2) Accessibility What does this mean? The first is fairly clear. If you test 10 alphas a day and everyone else tests 2 every day then you will do a lot better than everyone else. How do you make that happen?
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Alphas being what you quote around, latency being how fast you can update that, and quoting logic being what you do with your quotes to put positions on/off.
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On this note you have a few ways to gain an edge as a market maker. Some people are basically just trading MFT strategies with market making execution and hence if you remove their 1min and above forecasts they wouldn't make money, but they have great 1min, 5min, 15min, 1h, and
@systematicls @pedma7 So it would be continuous, not some discrete decision, which is much cleaner. You also can just execute with a market maker for limit execution and feed this 5 min forecast into the MM as something that it skews around so when it combines this with the skew to put your position
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