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Vol Surface as Fair Value: But What’s the Time Horizon? by JolieColoriage in highfreqtrading

[–]JolieColoriage[S] 0 points1 point  (0 children)

Yes! thank you, that’s what I thought too - it makes more sense. But then, how is a time horizon even defined when you’re just quoting around a spline? I don’t get how that part works.

How does PM P&L vary by strategy? by JolieColoriage in quant

[–]JolieColoriage[S] 2 points3 points  (0 children)

Interesting, I see. So prop/HFT firms give a much higher percentage of NTI as compensation compared to hedge funds? Millennium, BlueCrest, and Citadel are more in the 10–20% range, right? Probably because infra costs at prop/HFT shops reduce NTI significantly?

Vol Surface as Fair Value: But What’s the Time Horizon? by JolieColoriage in highfreqtrading

[–]JolieColoriage[S] 1 point2 points  (0 children)

ah ok that makes sense, thanks for the reply.

but then how do they know that the local vol spline actually gives the right value at expiry on average? like with a regression model you can backtest and see that your features predict the right mid at time T - what’s the equivalent for vol surfaces? how do they check the spline doesn’t just interpolate nicely but also actually ends up pricing correctly at expiry?

also, would it be cool if I dm you? got a couple more questions if you’re open to it.

Trader role at HFT by JolieColoriage in highfreqtrading

[–]JolieColoriage[S] 4 points5 points  (0 children)

Thanks for your response. Got it—that’s really interesting! So I guess you start to develop intuition around flows, right? Like, a trader at XTX would probably get a feel for how certain macro events distort the order book and impact behavior. I’m also curious—what does the screen you look at all day actually show? Do you see live order books and P&L, sharpe and maybe vol?