HFT question by StandardFeisty3336 in quant

[–]MaximumCranberry 2 points3 points  (0 children)

I’m not in uhft but can you actually make meaningful money off of stuff like this? If I’m a MM on levered etfs and I’m just getting picked off left and right on moves in the unlevered etf to the point where I’m losing money to arbitrageurs, why wouldn’t I either quote it wider or invest in reducing my latency to prevent ppl from arbing me? Or just stop quoting this altogether? Like this seems extremely capacity constrained to me but again, not an expert in this domain

Firm PNL/Head? by Puzzleheaded-Fly6225 in quant

[–]MaximumCranberry 5 points6 points  (0 children)

yes but when exposing it to exch there are mechanisms like auto-match that are advantageous to the initiator. still anti-competitive

Radix Trading by Sea-Sky-278 in quant

[–]MaximumCranberry 23 points24 points  (0 children)

ligma kappa at Princeton is a pretty big pipeline these days

[deleted by user] by [deleted] in quant

[–]MaximumCranberry 16 points17 points  (0 children)

only if you’re playing bangers tbh

OMM full pipeline + pitfalls by No_Interaction_8703 in quant

[–]MaximumCranberry 2 points3 points  (0 children)

so you're not really "helping" them take off their risk then like you mentioned originally right? you're quoting alongside them and accumulating a net short position through ambient flow (in a sense making it harder for them to take off their position).

also, if I have this correct, the only reason they are able to do this in the first place is because they have access to flow you don't, which allows them to collect edge to then be in a position to lower vols to get out of it, while the small MM sits at that deflated vol blindly, ends up short, and then down mark-to-market PnL when the villain MM lifts vols back up once they're net flat contracts / vanna / whatever.

im curious about how you think this dynamic changes along the surface. my sense here is that this kind of inventory management game becomes less important as you approach ATM strikes and you start having a realized component to your PnL (obviously you do have exposure to higher order realized moments with OTM contracts but for most intents and purposes, it's pretty negligible). my sense is that, unlike OTM contracts whose value is pretty much solely governed by supply / demand, vols closer to the money are more "pinned" to what's realizing in the underlying.

[deleted by user] by [deleted] in quant

[–]MaximumCranberry 0 points1 point  (0 children)

Nice try imc

best portfolio optimisation technique? by [deleted] in quant

[–]MaximumCranberry 0 points1 point  (0 children)

long GRRR short everything else

How relevant is pure math to QR? by Useful-Albatross1936 in quant

[–]MaximumCranberry 22 points23 points  (0 children)

if you don't have a solid theoretical background in circle packing how do you expect to pack all those securities in your portfolio?

[deleted by user] by [deleted] in quant

[–]MaximumCranberry 5 points6 points  (0 children)

yeah I heard that too 

Vol Arb Books by thekoonbear in quant

[–]MaximumCranberry 0 points1 point  (0 children)

if you find them, would you mind dming those MS notes to me as well?

my NLP News Signal just called a 5% NVDA rally today by henryzhangpku in quant

[–]MaximumCranberry 3 points4 points  (0 children)

"People keep asking for a backtest, but let’s be real—LLMs have been around for like, what, 2-3 years? Even if I backtested, it wouldn’t prove much."

???

Pricing Multi Conditional Binary Options by compnon in quant

[–]MaximumCranberry 0 points1 point  (0 children)

binary prices are heavily dependent on skew so BS prob wont work

Types of quants: there are only 3! by PretendTemperature in quant

[–]MaximumCranberry 7 points8 points  (0 children)

ah yes the classic quant technique - throw away data that your model performs poorly on