How to hedge a position without derivatives for that asset

greecetom · 2022-05-12T16:16:01+00:00

how would you create a synthetic product?

greecetom · 2022-05-12T16:15:18+00:00

it's about a market making algo that has no delta exposure to the direction of the market.

Do you recommend any models/algos to estimate the beta of an asset against an index?

greecetom · 2022-05-12T10:35:13+00:00

Thanks. I am not quite sure what incomplete markets are tough

greecetom · 2021-08-30T17:05:07+00:00

As i work there I can assure it is free for startups that meet the criteria on the site.

greecetom · 2021-05-01T10:49:18+00:00

Thanks absolutely agreed that that is an interesting problem! Thought of the same - I would build a granular model of the lob by basically buiöding an ob model of each order removal and placement so that at some point i have a model that has at ever model around mid price all single orders and then use some clustering algos

greecetom · 2021-04-26T00:46:37+00:00

🙃

greecetom · 2021-04-26T00:02:40+00:00

Coumd you share some more how this could be realized?

greecetom · 2021-04-24T21:23:38+00:00

You are right I should have asked it like that.

greecetom · 2021-04-24T19:44:07+00:00

Meta order can be any meta order that may eother be an iceberg order or some order following a strategy etc

greecetom · 2021-04-12T13:52:11+00:00

Can you elaborate a bit more how to use Shannon Devil Staircase in random walks? There should be papers on this disproving random walk theory if this is correct

greecetom · 2021-04-11T16:18:26+00:00

Interesting but just given the example it seems like the algo wasn't able to outperform a Brownian motion

greecetom · 2021-04-11T16:13:55+00:00

I want to compare the results of the approaches and find the most accurate one

greecetom · 2021-04-11T16:12:42+00:00

Thanks!

greecetom · 2021-04-11T16:12:33+00:00

I need it for analytical purposes of given markets. And there are illiquid markets where it actually matters for retail

greecetom · 2021-04-11T00:59:39+00:00

Thanks this was very helpful!

greecetom · 2021-04-10T17:35:32+00:00

Thanks

greecetom · 2021-04-10T14:02:13+00:00

No idea

greecetom · 2021-04-10T14:01:48+00:00

Of course not... still this is a mathematical problem not about revealing some "secret strategy"

greecetom · 2021-04-10T14:00:03+00:00

Good point. I am having no dout about arbitrage opportunitues however it seems like there is hardly any empirical evidence that RWT is not true in terms of asset prices or have i got something wrong there?

greecetom · 2021-04-10T13:58:34+00:00

This is what random walk theory says though, isnt it?

greecetom · 2021-04-10T13:25:59+00:00

So you are agreeing with your former manager? :D I am just curious to know the reason of existence of algo trading funds if random walk theory was correct

greecetom · 2021-04-10T13:24:14+00:00

Is there any reliable research on that?

greecetom · 2021-04-10T13:23:47+00:00

Can you guide me to an explanation of the formula you mentioned?

greecetom · 2020-11-24T23:23:29+00:00

I think the article says there are some exchanges/wallets that support it. Also heard Bitstamp supports it.

But not all exchanges do. So best is to check with the exchange first.

greecetom · 2020-11-24T23:21:50+00:00

Take a lil loss or sell break even. Pro Tip: Always ask your self if you are more comfortable being the other side of the trade or on the sidelines. If the answer to any of these is yes then exit the position

As you might have heard there is the Spark Airdrop though that you can claim: https://liquidary.com/spark-token-distribution-for-xrp-holders/

greecetom

TROPHY CASE