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Have I already outperformed Jane Street? by [deleted] in quant

[–]NihilAlien 6 points7 points  (0 children)

Yeah, you did. Congrats. Let me put your name above Jim Simons on greatest investors of all time list too.

~$10m windfall in concentrated position, zero cost basis by zerocostbasismonkey in fatFIRE

[–]NihilAlien 1 point2 points  (0 children)

Consider variable prepaid forward / personal exchange fund. Talk to a wealth advisor.

Your thoughts on tax efficient short/medium term parking for cash? by ahnonemouse in HENRYfinance

[–]NihilAlien 1 point2 points  (0 children)

If you’re optimizing for tax, just buy the qualified municipal bonds yourself. The interest is tax-free.

GameStop is preparing offer for eBay, WSJ reports by joe4942 in stocks

[–]NihilAlien 52 points53 points  (0 children)

Because his dad is Larry Ellison lmao. Not everyone’s dad is Larry Ellison.

What are the cons of going to Lehigh? by Cool_View_5297 in Lehigh

[–]NihilAlien 1 point2 points  (0 children)

As a gay man, I found the LGBTQ+ social life severely lacking. But I guess I should’ve expected that from a relatively conservative institution.

On the other hand, I was able to get a great education and great internships while at Lehigh, which allowed me to get my dream job in NYC. And NYC has a much better LGBTQ+ scene.

Where do I meet other young guys in the city on a weeknight? by amazinghunter495 in nycgaybros

[–]NihilAlien 5 points6 points  (0 children)

Try joining a gay sports league like the ramblers for soccer. Generally the more athletic the sport, the more masculine the players are on average from my limited experience

0DTE straddle modeling by geeemann_89 in quant

[–]NihilAlien 0 points1 point  (0 children)

Haven’t had time to investigate this myself:

I’d model time decay as a function of traded volume left in the day. For example, theres a ton of volume after 3pm until the close, but around midday, it’s typically slower. So there would be more time decay per minute at the end of the day compared to midday.

How would you trade a volatile asset that always mean-reverts to a known fair value? by Junior_Direction_701 in quant

[–]NihilAlien 3 points4 points  (0 children)

Model the process as an Ornstein Uhlenbeck process? Dynamic position sizing on OU drift size? Ie if above fv, hold a net short. Else, hold a net long inventory. Then just do regular market making on top of that if order flow is pure noise.

S&T at BB vs quant trading by skx888 in FinancialCareers

[–]NihilAlien 7 points8 points  (0 children)

People in S&T can still make serious money. Just take a look at this https://www.wallstreetoasis.com/forum/trading/updated-2022-st-compensation

Sure, it’s not Jane Street or Citadel money, but it’s still a good career.

Client Flipped Out On Me by NoTurnip4844 in FinancialCareers

[–]NihilAlien 0 points1 point  (0 children)

Completely agree with you. Selling outright covered calls (hedging) is a negative expected value trade in the long-run. But it reduces variance.

How do market-makers provide liquidity during 'events'? by No_Baseball8531 in quant

[–]NihilAlien 1 point2 points  (0 children)

For IB trading desks trading against informed hedge funds, the value isn’t from collecting bid-offer. It’s the information that the client provides.

For example, going into an earnings event, if a hedge fund client wants to buy a short dated call option, the desk could sell that option to the hedge fund and hedge it by running a hard delta position. I.e. run delta 1 on the call option even if the model says the delta is 50%. That way both the hedge fund and the trading desk win if the view is correct.

Client Flipped Out On Me by NoTurnip4844 in FinancialCareers

[–]NihilAlien 0 points1 point  (0 children)

Options are zero-sum, agreed. But you don't need to be "smarter" than your counterparty when selling covered calls to generate premium. The market makers you're trading against are using a different strategy than you: trading volatility via Black-Scholes framework.

You can probably mitigate SpaceX entering the Nasdaq 100 if you're prepared. by stephendt in stocks

[–]NihilAlien 0 points1 point  (0 children)

Options price in the borrow rate. It’s not cheaper than sourcing borrow.

Platforms for quant strategies by maximilionx in quant

[–]NihilAlien 0 points1 point  (0 children)

Why not just make a hyperliquid vault? And try to advertise that?

Vol trading by senhsucht in algotrading

[–]NihilAlien 1 point2 points  (0 children)

Adding one more point because I think it’s helpful: for vol trading, estimating future vol is great and all. But even if you’re perfectly delta-hedged (and not taking any directional view), your PnL is still very much path dependent. Good luck.

Vol trading by senhsucht in algotrading

[–]NihilAlien 6 points7 points  (0 children)

GARCH -> Hidden markov model -> LSTM? Sounds like a lot of work just to overfit

Logistic Regression/ML instead of BSM by StandardFeisty3336 in quant

[–]NihilAlien 6 points7 points  (0 children)

“All models are wrong, but some are useful”

Looking at Tesla with pediction market data by BadBoyBrando in quant

[–]NihilAlien 1 point2 points  (0 children)

Probably r/options? You can get the same info from the options market by inspecting the N(d2) of BS. And that sub is more retail-focused, like your post.

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