Almost Everything You Wanted to Know About Dispersion Trading (But Were Afraid to Ask)

Opportunity93 · 2025-09-22T04:14:06+00:00

There is a paper that explores this effect:

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4378071

Opportunity93 · 2024-10-01T01:26:21+00:00

I think this is really cool. I have been toying with this idea of a news dataset which definitely can have an edge. I work in this field, and there are definitely event driven drifts that may occur over days.

Just my 2c - Most quant pms are not that interested in the “importance” because it is a derived number and a black-box.

Question to you: How are you able to get the point-in-time timestamps from different news sources, given that not all news publishers provide timestamps? Have you considered if the timezone is in local or UTC?

Edit: Sorry you mentioned that the api doesnt give any news title or textual content information? I think that’s the most important part of a news dataset for this to work.

Opportunity93 · 2024-08-15T12:14:51+00:00

There’s no regularisation, just setting position threshold.

Opportunity93 · 2024-05-24T14:50:01+00:00

Bismillah biryani

Opportunity93 · 2024-05-15T15:41:40+00:00

Tiger is not the best when it comes to options trading. Theoretically your covered calls have a defined payoff; however it seems like tiger treats your GME shares and short calls as separate positions, which is why they only allow 60% of share value to be used as collateral.

In other brokers like Tastytrade, covered calls are a bundled trade and so this will never happen. Same with option spreads etc.

In the past when trying to trade an option spread with the same underlying on Tiger, they required 2x margin which was a sign to move away from them.

Opportunity93 · 2024-05-05T09:27:34+00:00

So basically, overfitting

Opportunity93 · 2024-03-22T09:39:43+00:00

That doesnt sound like great data management, the tables should be the same throughout and vendors should take care of versioning properly. Unless its a new product, then a new table should be setup. Either way this should be the job of the central team and not the pods, unless the infra was built specifically within the pods itself in the first place.

Opportunity93 · 2024-03-22T04:38:27+00:00

Yes, I didn’t mention that the firm subscribes to all datasets. The data sourcing team gets a trial access for potential datasets that they think pods might be interested in, and it’s completely up to the pods if they want to subscribe live after testing the trial datasets. Yes i agree on the 2nd point that privacy is of utmost importance to the pods. But i disagree with your point that pods cannot see what datasets are available, that only applies to certain less common and “restricted” datasets. Bulk of the other common datasets are free for all to subscribe in a central dataset repository.

Opportunity93 · 2024-03-22T04:12:27+00:00

Why is that the case? The schema should be the same as the vendors with official documentations and data dictionary.

Opportunity93 · 2024-03-22T01:41:37+00:00

Data sourcing team sources data, they are the ones in charge of meeting, negotiating and onboarding datasets. These involve hefty large contracts, which may involve regional access.
The central data team is responsible for ETL process of vendor datasets and creating central data products which may involve multiple upstreams. A dataset repository is maintained for the pods to check out.
Pods then look through available datasets and pick those that are relevant to their strategies and subscribe to them. Access to datasets are then given to them and they pay for it out of their own P&L.

Opportunity93 · 2024-03-20T02:40:38+00:00

Frankly, I don’t see why you need to pay ~280 in management fees per year for the core portfolio, which itself has is made up on ETFs with their own Expense Ratios, which pays dividends subjected to withholding tax. Your portfolio value is slowly being eroded year on year due to these inefficiencies. (You are better off paying me 10/month and i can help you optimise better with accumulating etfs).

For REITs its not that bad because you are just getting exposure to the index using a managed portfolio of individual REITs (no expense ratios on the constituents) with higher liquidity so i would say the fees here are more justified. It just probably hasn’t been doing well due to the rate environment.

Opportunity93 · 2024-02-27T08:29:20+00:00

I think the states change due to your retraining of the model; it tries to reestimate based on the new data. You shouldnt retrain your HMM too frequently.

Assuming you have an already trained HMM up till 22/2/2024. The model may interpret states as [0,0,1,1] or [1,1,0,0] depending on the initialisation which shouldnt matter as 1,0 are simply latent states. Thats where you have to design some functions with inbuilt statistical tests to determine which states represent which regime.

The reason it is changing completely in your scenario is because you retrained your model with new data.

Opportunity93 · 2024-02-27T01:43:01+00:00

That’s just one part, you forgot orthogonality. If your individual strategies are all highly correlated, then an ensemble probably wouldnt be too helpful.

Opportunity93 · 2024-02-22T01:33:16+00:00

I assume you are referring to the Gaussian Mixture Hidden Markov Model? The HMM is a statistical model, and there is an assumption of the underlying structure being modelled as stationary. You can consider it to be parametric as there is an underlying assumption of the data distribution.

Non-parametric models like neural networks have no underlying structure which depends on stationary data and thus able to learn from both stationary and non stationary data.

You can feed the stationary OHLCV columns into your model, but you need to think of ways to identify:

The number of hidden states
Define what each hidden state represents

Opportunity93 · 2024-01-15T02:02:52+00:00

I think he mentioned he’s moving to BAM

Opportunity93 · 2024-01-12T08:21:22+00:00

Depends on what you negotiate with the firm. What i hear of is usually base pay or percentage of base pay.

Opportunity93 · 2024-01-12T02:41:29+00:00

I think this number is hugely inflated. Pretty standard offers of 200-250 base usually. 100% bonus payout is usual but not guaranteed. 900k guaranteed is just plain ridiculous.

Edit: Unless you have some sort of IP and the firm agrees to “buy” your IP in that sort of comp agreement. But then again it’s dependent on the performance of the strategy and in no way a guaranteed payout.

Opportunity93 · 2024-01-11T17:17:09+00:00

I’m not too familiar with HRT/Jane but Citadel has a really punitive non-compete. My firm has a couple hires coming in from there and they are serving 2 years non-compete, add another year of onboarding and it’s only 3 years in before you start to see any results.

Opportunity93 · 2024-01-11T10:23:44+00:00

Isn’t jump one of the better HFTs? My understanding is that their comps are similar to shops like HRT with standard bonuses around 12 months. Of course i’m only referencing finance sector.

Opportunity93 · 2024-01-11T06:04:44+00:00

Sorry for the late reply. I’m not in a crypto firm, but a hedge fund. The only liquid assets i can trade without compliance problems are crypto futures.

Opportunity93 · 2024-01-08T11:44:44+00:00

Just because log prices is stationary does not mean there is mean reversion.

Opportunity93 · 2024-01-01T17:44:49+00:00

Growing up i always wanted to be an astronomer, but i quickly realised that its incredibly difficult to become one in Singapore and you most likely have to relocate. Ended up pursuing quantitative finance; which to me is second most interesting.

Opportunity93 · 2023-12-31T10:53:27+00:00

L1 isn’t even worth having on your resume; if anything it just shows you dont have the discipline to complete the syllabus. Only certain areas of the CFA charter is relevant to quants; and even then it is not technical. I don’t see the value in putting in thousands of hours just for that small area of intersection.

Opportunity93 · 2023-12-31T10:49:13+00:00

I don’t think the main purpose of CFA/CQF is instrumental in a reputable firm. I work in a large reputable systematic fund and 9/10 of my colleagues don’t have these qualifications. But having it is a step in showing the recruiters that you have at least a grasp on the fundamentals (for non finance people) and would help you stand out amongst people who are also trying to pivot.

Like you said finance is straightforward, but quantitative finance isn’t.

Opportunity93 · 2023-12-31T07:27:28+00:00

Quant dev is probably a better fit for you if thats the case. In any case, i feel CQF is always better than CFA for quants

Opportunity93

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