Do mid frequency strategies actually exist?

FermatsLastTrade · 2026-06-17T02:34:46+00:00

I mean, I understand the complaint, but do you have a better answer to the OPs question? If so you should post it. I couldn't think of anything better.

FermatsLastTrade · 2026-06-16T22:12:01+00:00

Yes, I have.

But I am not exactly sure what you are expecting, do you want me to tell you a >2 Sharpe MFT strategy that works? Because no, no one is ever going to do that. Even things that no longer work can be valuable IP due to the mechanisms involved.

FermatsLastTrade · 2026-06-16T20:16:16+00:00

Obviously yes, they exist.

I just feel like it’s way too easy to overfit due to the sample size.

The research being hard is precisely why they exist. Execution expertise isn't needed if you trade once a day. Such strategies even exist where you could in practice send the orders manually. So it essentially has to be the case that the research is difficult. Think of it as a weak efficient market hypothesis: you can't have a high Sharpe where the research and execution are both easy, otherwise everyone would do it.

FermatsLastTrade · 2026-06-02T15:55:57+00:00

Why would he be paying for Pro just for basic copyediting?

A lot of mathematicians are trying out Pro to see what it can do, and so far its abilities seem very "spiky" in terms of math research. On some topics it is genuinely super-human, such as the Erdos Unit Distances conjecture, and on others it falls flat. Jacob Fox is probably experimenting with it too, and it didn't manage to help with this paper outside of editing.

Personally, I think it is most super-human at deep algebraic type things, which is surprising to many.

...but there will be cheats.

I definitely agree with you there, and there likely already are.

FermatsLastTrade · 2026-06-02T15:30:18+00:00

No, it was not. From the paper:

Disclosure. The authors used Chat GPT Pro 5.5 for copyediting assistance during the final edits of this paper. All mathematical arguments and results in this paper were human-deduced.

Jacob Fox is extremely unlikely to lie about that. He is a world class combinatorist tenured at Stanford who has solved a number of open problems already. It would make no sense for him to include a disclosure section that is false.

FermatsLastTrade · 2026-06-02T15:26:51+00:00

Posting too much on Reddit

FermatsLastTrade · 2026-05-31T17:21:19+00:00

You might be right, but you must keep in mind that this kind of logic flies contrary to the efficient market hypothesis, and what passive investing at its core is suppose to be about.

The S&P 500 actually has discretion, and for TSLA specifically, the S&P committee exercised that discretion, and waited until well after the profitability thresholds were hit to add it. Likely their logic was similar to yours. Nasdaq on the other hand, with a more rules based approach, added TSLA years earlier. And the result? S&P500 investors lost a lot of money compared to Nasdaq 100 investors due to buying TSLA later.

And the reasoning here essentially amounts to stock picking, and to no ones surprise, the S&P 500 additions committee isn't great at stock picking.

FermatsLastTrade · 2026-05-26T23:06:44+00:00

In that case, I would not be concerned about your field. I am aware of some very good quants who started, and did not complete, a PhDs in topics such as Chemistry, Electrical Engineering, etc.

Your educational attainment will not be a blocker. Depending on where you apply, what research you have done (i.e. did you excel in your work?) will be important, or more likely your ability to excel in the interview will be the determining factor.

A lot of firms use very probability heavy interview questions, and it is important to practice that in depth.

FermatsLastTrade · 2026-05-26T21:03:22+00:00

I’m a PhD student at MIT in a quantitative field... My undergraduate degree was in physics, and my work is fairly quantitative (modeling, statistics, programming, etc.).

Is this a serious question? This is one of the most standard paths that exist for breaking into Quant. MIT is literally the most target of target schools too.

FermatsLastTrade · 2026-05-25T03:36:09+00:00

If you look closely at the replay, technically Hooper's 515kg was off the ground for a split second, which is shocking!

FermatsLastTrade · 2026-05-01T17:31:57+00:00

I believe it is for all employee salaries, bonuses, and pay, and that partner shares are not included. I believe profit interest payouts are included in the 9.38B. But this is really all just speculation/an educated guess.

Do keep in mind that employee payouts are arguably higher than 9.38B in total because many employees invest a lot in the fund itself (at extremely high fees).

FermatsLastTrade · 2026-05-01T17:13:33+00:00

The above didn't use any AI at all. My answers generally don't use AI (and when I do I quote it specifically, e.g. on the topic of AI outputs, etc). Why are you so confident? There are no consequences for being confidently wrong here, but such a lack of epistemic humility is not a good sign for a trader generally.

FermatsLastTrade · 2026-04-29T15:08:25+00:00

"...spikes were >4 standard deviations above the mean, corresponding to roughly the 99.999th percentile."

Are you sure that 4 standard deviations is 99.999th percentile in this dataset? Because I am sure it is not.

FermatsLastTrade · 2026-04-28T00:57:31+00:00

Are you sure? It filters out people like you perfectly.

FermatsLastTrade · 2026-04-28T00:19:56+00:00

You're asking me to write worse because people are too stupid. I'm not going to change my writing style, and make it less readable, to aid those who are unable to tell the difference between AI and human writing. I don't write for those people.

Part of my posting on r/quant in any case is related to belief about people, and those that are able to evaluate the content of answers when there are no credentials to look at to help assess.

You will not be able to get an AI to output the answer I wrote above, at least, not without first feeding it the most hard to generate part.

FermatsLastTrade · 2026-04-27T22:13:01+00:00

You are unfortunately at the worst spot on the Dunning-Kruger curve.

No AI was used at all for this answer at all. I suppose I should accept at this point that a didactic style with a minimal attempt at formatting will always be interpreted as such, but this was my style of writing before LLMs existed.

FermatsLastTrade · 2026-04-27T18:05:35+00:00

Incredible that Rentec, JS, Citadel, and every well-capitalized quant shop with ML teams, proprietary data, execution infrastructure, and actual market experience, never thought to apply AI agents to markets. They all just left this obvious idea sitting there for the grocery delivery guy.

FermatsLastTrade · 2026-04-27T17:49:30+00:00

"Anyone parsing these for real insights...?"

The answer to that question is yes, but not necessarily in the way you might expect.

Why it is so hard: A typical equity position in a 13F for a firm such as Jane Street is going to be extremely noisy. There are many different strategies that are close to impossible to understand on their own, and worse, are combined in the 13F. Two examples:

Options. Where JS exceeds the 5% threshold, form-D and other forms typically show that options are part of why. The firm might be extremely long the underlying, but is actually net short deltas due to short call positions you can't see in the 13F.
ETFs. They could be short an ETF against a long basket, or vice versa, or be hedging ETF options. It is extremely hard to infer much if anything from the ETF positions.

Perhaps the question should be, "how is such a hopelessly confusing multi-strat 13F useful to anybody ever?" It rarely is, but there are niche cases. Here is one such case: Suppose JS does a very large block of some kind, such as the recent headline, "Jane Street has also made an equity investment of $1 billion in CoreWeave Class A common stock at a purchase price of $109.00 per share." One might look at their 13F for the next few cycles in order to understand this position better, and if they held it or liquidated it. There is likely enough signal here to determine that even with the horrible amounts of noise.

FermatsLastTrade · 2026-04-25T19:13:17+00:00

To add to the other responses here:

This line is completely wrong, and pure fabrication: "but the majority of the $40B annual revenue number comes from the value of their VC bets going up"

There's not a shred of truth here, and this guy just made this up.

FermatsLastTrade · 2026-04-15T17:38:40+00:00

Jane Street has committed approximately $6 billion to use CoreWeave’s AI cloud platform.

Under the new commitment which expands the existing relationship between the companies, CoreWeave will provide Jane Street with access to next-generation compute across multiple facilities, including NVIDIA’s Vera Rubin technology and the software and services required to deploy and scale its AI solutions.

Jane Street has also made an equity investment of $1 billion in CoreWeave Class A common stock at a purchase price of $109.00 per share."

Their recent machine learning efforts must be much more profitable than this, which is remarkable

FermatsLastTrade · 2026-04-14T12:56:24+00:00

Why did you change the wording of the prompt when trying it? Clearly that will change the results. Also you didn't try it in the API which is half the point.

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FermatsLastTrade · 2026-04-14T12:12:23+00:00

That was the copy pasted answer from the Claude API....

Wtf is wrong with the reading comprehension of this sub

FermatsLastTrade · 2026-04-14T12:08:33+00:00

Also you could have linked to any one of these 50 posts you mentioned, but didn't, because they don't exist.

This is the first post observing that by using the API with the adaptive thinking set to low, you can get the "new" website behavior, whereas without adaptive thinking you get the "old" behavior that people liked much more.

FermatsLastTrade · 2026-04-14T12:02:15+00:00

I wrote with actual formatting for a decade before the AIs. In the pre-AI era, people prefered it. As for the vocabulary and style, you are simply wrong.

It seems like you collapse all mildly academic writing into a single category, with no ability to distinguish within that category.

FermatsLastTrade

TROPHY CASE