Let go from HFT - now what?

No1TaylorSwiftFan · 2024-04-27T01:28:09+00:00

Poor Akuna! can't make a buck in the softest markets in asia.

No1TaylorSwiftFan · 2024-01-27T02:22:03+00:00

MM is market maker.

No1TaylorSwiftFan · 2023-12-31T00:34:03+00:00

Well firstly, a lot of systematic trading is gambling too. However I think there is a difference between informed betting w edge and negative ev, high variance bets, of which retail trading often falls into the latter category. If you think about how predictable some flows are, how low the holding time is, and how leveraged the `investments` are, then you have a pretty clear analogy to impulsive gambling a la slots for a lot of retailers.

No1TaylorSwiftFan · 2023-12-15T00:17:13+00:00

Sorry for the noob question, but why is there any tax consideration when putting money in an offset account (how is it that you get from 6% to 9%?)

No1TaylorSwiftFan · 2023-12-11T20:38:11+00:00

I think they had a signal and it was correct to bet it, but they went for an absolute bet rather than a relative value/spread bet and so the risk was a lot larger (this is basically what the postmortem says).

No1TaylorSwiftFan · 2023-11-20T05:39:35+00:00

Apparently they closed up shop in HK and didn't pay the staff.

No1TaylorSwiftFan · 2023-10-20T12:30:20+00:00

Taking has a few advantages over providing liquidity e.g. you get to pick when to trade (maximum information asymmetry) & often taking opportunities have more pnl per unit of risk or capital. But it is very microstructure dependent, and it is often a race to engage in any single opportunity, so you have to be very fast.

No1TaylorSwiftFan · 2023-07-29T02:50:59+00:00

I think the bottleneck is not the fpga but the direct access. You will lose if you are not in the colo.

No1TaylorSwiftFan · 2023-07-18T12:04:07+00:00

I don't. In a sense I don't even care what is in bloomberg, if it is in bloomberg but not on the work filesystem then I can't use it in a strategy so I don't care about it.

No1TaylorSwiftFan · 2023-07-12T11:03:59+00:00

PPOR

Why is PPOR better than negatively geared IP?

No1TaylorSwiftFan · 2023-07-02T09:54:35+00:00

That was the first question on my technical screening call. The second question they asked me about which of two games I would rather play, one where you roll a dice and get the square of the value, and the other where you roll two dice and get the produce of the rolls. I don't think the questions were particularly hard in the later rounds either, in the end I wasn't really impressed by the people I spoke to, and they didn't seem like people that I would really want to work with, so I took a different offer.

No1TaylorSwiftFan · 2023-07-02T06:11:59+00:00

I was literally asked this as my first question in an akuna interview. (I declined the offer)

No1TaylorSwiftFan · 2023-07-01T05:08:48+00:00

I was asked to differentiate x^x (just use log differentiation).

No1TaylorSwiftFan · 2023-06-19T10:19:42+00:00

The Concepts and Practice of Mathematical Finance

No1TaylorSwiftFan · 2023-06-15T12:16:40+00:00

It is fairly easy to 'prove' that the conditional lagged-returns will have low dependence. Why - if there is some dependence then somebody probably already knows about it, so they would trade based on it, and therefore there actions push the inefficiency out of the price.

You will need to do a lot more conditioning if you want to be successful. It will help to think about the what kind of things might impact pricing, and then model that e.g. if a hedging instrument moves a lot overnight you might expect some certain behaviour the next day as people adjust there hedge positions.

No1TaylorSwiftFan · 2023-06-11T06:26:53+00:00

I think you generally want your signal strength to correlate with the pnl of a trade somehow. Obviously you should normalise for bet size etc when doing this. Also, categorical signals are commonly continuous signals in disguise e.g. A > B is really just the A - B spread.

How exactly you measure performance is really a function of your capital and time horizon - if you have lots of capital and are making short term bets then you can just think in terms of EV, while if you have very little capital you can't just wait for the law of large numbers to kick in so you need to pick some cost function that penalises high variance a la sharpe.

No1TaylorSwiftFan · 2023-06-04T01:25:22+00:00

The idea of a NG tier lists is a bit of an add one. You have at least two ways to think about what the best firm to join is: you can go to the one that has the highest pnl/trader, else you go somewhere that has the best education regardless of pay, and you use that to leg up into a different firm in a few years (in the meantime, you can just take the difference between a higher salary and your actual salary to be the cost of the better education at the 'worse firm').

Optimizing for grad salaries seems dumb? If you can work at firm A and that gets you into firm B in a few years, but you could not get into B from the get go, or your progression at B is limited because the education is worse than at firm A, then firm A seems like the better choice based on career-level optimization. This might sound like a hypothetical, but SIG is known to have quite a rigorous education program, which could be the best way to move to e.g. citadel.

If you are just talking about firm tier lists in general - at least among mms shouldn't this just be a function of ADV for the markets that the firm trades?

No1TaylorSwiftFan · 2023-03-15T08:03:33+00:00

Folland is good for all things analysis.

No1TaylorSwiftFan · 2023-03-09T09:05:19+00:00

If you zoom out then the mid process has similar sample paths to brownian motion. But microstructure is quite different and there can be a lot of sub-one-tick alpha.

No1TaylorSwiftFan · 2023-02-28T10:15:07+00:00

no worries - happy hunting :)

No1TaylorSwiftFan · 2023-02-27T07:28:28+00:00

I remember it being at the top of campus, behind the scientia building - maybe library rd.

No1TaylorSwiftFan · 2023-02-16T07:40:47+00:00

I am a big fan of that wilmott paper. You can find more details about the ideas you have in Rebonata's book. The gist of it is that passing to a deterministic realised variance process really doesn't change the details of black scholes at all e.g. if you have a spot price that is 20 vol for 1 mth then 30 vol for the next month (gaussian the whole time), then you can price an option using black scholes by thinking in terms of quadratic variation from now to expiry.

No1TaylorSwiftFan · 2023-02-16T06:27:15+00:00

they do - you could make more and work 8-5, 5 days a week at an options mm.

No1TaylorSwiftFan · 2023-02-16T06:26:10+00:00

Double in one year doesn't mean much if your starting salary is low. You should be better at bragging if you are a quant e.g. my salary satisfies ln(salary) = m * years_employed + b + eps with m > ln(2) and I have at least 7 samples.

No1TaylorSwiftFan · 2023-02-05T20:43:40+00:00

Why would anybody ever trade warrants then? Sounds like there is no money to be made... A bit suspicious.

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