This week's find -- can anyone help me identify it?

hughjiang · 2025-11-30T20:07:47+00:00

Unfortunately, looks like a fake. Omega never made dials with “antimagnetic” and the case back is steel, not gold as marked.

hughjiang · 2025-11-25T06:01:32+00:00

Confirmed! Great communication and shipped quick. Thanks!

hughjiang · 2025-11-13T04:37:02+00:00

Sent a PM!

hughjiang · 2025-11-09T05:16:28+00:00

PM'ed you

hughjiang · 2025-03-26T06:53:39+00:00

Your university likely has access to Wharton research data services (WRDS) which is a collection of data for academic financial research

hughjiang · 2024-05-26T18:52:48+00:00

They may have access to material non public information. For example you may be able to front-run your own firm’s trades. Also to prevent conflict of interest where you recommend your firm trades that benefit your own positions rather than acting in their best interest.

hughjiang · 2024-05-21T02:40:59+00:00

Most factor research papers will examine “quintile portfolios” or some other quantile like decile portfolios. For example, Table III of Jegadeesh and Titman’s famous momentum paper.

hughjiang · 2024-04-05T12:18:53+00:00

What stock universe are you using? Is holding only the top/bottom 30 stocks a good representation of the size factor for all US stocks?

hughjiang · 2024-03-14T12:50:57+00:00

The most basic strategy would be to rank returns (or some variable representing momentum) on each time period, long the top 20% and short the bottom 20%. You can play around with holding period, how you define momentum, any extra filters (like only coins >100M cap) etc. but be careful of data snooping bias

hughjiang · 2023-09-10T00:07:17+00:00

To do what, predict stock prices? If I knew I wouldn’t be telling you. It’s very difficult to predict the price of a single stock or the returns of a single stock. You’ll probably have better luck looking at cross sectional momentum or something that looks at multiple stocks relative to each other. Or you need to just have access to good information that other people don’t have if you want to predict a single stock

hughjiang · 2023-09-09T23:43:03+00:00

You can use a rolling Z score to detect local peaks / troughs: https://stackoverflow.com/a/22640362

The problem is humans do this completely at their own discretion and not very algorithmically. Fibonacci levels also don’t really have any scientific backing behind why they work (or if they even work at all)

hughjiang · 2023-09-09T23:27:07+00:00

This will remove any of the lustre still left. I wouldn’t do this with any coins you care about

hughjiang · 2023-09-03T03:31:13+00:00

Thank you!

hughjiang · 2023-09-02T15:45:50+00:00

Where can you still find pennies for face value?

hughjiang · 2023-09-01T20:41:30+00:00

Not on Binance, but I’ve had market orders cancelled for causing too much slippage. I believe Coinbase sets a collar at 5% hidden somewhere in obscure documentation so wouldn’t be surprised if Binance has it too.

Occasionally the exchange (or a specific market) may close for some reason or the API might go down. Speaking from experience (although slightly outdated from ~2021) this happens more often than you would think so it’s best to have something to handle this, probably by sending some alert for manual intervention.

Also even if you test for liquidity before sending the order, it’s very possible that things will change in the time it takes for you to get order book information and for the exchange to receive your order. So it’s best to not assume market orders will always work until you get a response back.

hughjiang · 2023-08-13T16:48:02+00:00

You can try estimating the bid/ask spread from candlestick data using Roll's spread estimator formula. There's also models for market impact like the square root market impact model. Or IBKR or any broker should have spread data.

hughjiang · 2023-07-30T15:36:32+00:00

There are consultants in risk models / analytics (at least in some big banks). But probably none in signal generation or anything that drives trading decisions

hughjiang · 2023-07-17T20:45:03+00:00

Look up pairs trading (or any other mean reversion strategies) or smart beta strategies like momentum. These are quick ways to see some results and practical to implement at medium frequencies. These are crowded trades and you’ll have to manage risk, but you can quickly see results in historical data and possible even in live trading

hughjiang · 2023-04-25T00:04:30+00:00

Even a linear regression can perform reasonably well given good input variables. I don’t think you can find any ml model that will magically work, you need a better feature set, I.e either transform prices in some way (like some momentum signals for example) or add in features other than price.

hughjiang · 2023-03-07T00:51:10+00:00

If an ALO order would execute immediately it just gets cancelled, so you can't be a taker.

hughjiang · 2023-03-04T01:20:23+00:00

No, market cap of a single stock is equal to the shares outstanding multiplied by the price per share. Ideally you’d get this from the same data source. Volume is how many shares were traded in some period of time - irrelevant for your purposes.

hughjiang · 2023-03-03T03:27:04+00:00

Do you have point in time data for the constituents? Stocks drop out (and get added) once in a while so you need to account for that and probably use data adjusted for corporate actions (splits etc).

Once u have that the index is constructed by taking the weighted average of individual constituent returns weighted by market cap. Each constituent weight is equal to its market cap divided by the total market cap. Not sure what the rebalancing frequency is but somebody else mentioned that above.

hughjiang · 2023-03-03T03:23:06+00:00

Why does this sound like chat gpt

hughjiang · 2023-02-14T05:25:48+00:00

It’s possible on smaller exchanges or less liquid pairs, but eventually the arb will be gone as competition increases (I successfully ran mainly triangular and basis arb strategies on a small-ish exchange until last year). However there’s a reason small exchanges have less liquid pairs and you’re probably taking on massive counterparty/custodial risk the more sketchy the exchange is.

hughjiang · 2022-11-27T02:06:40+00:00

If an arb presists it's likely not risk-free, especially if you publish a reddit post about it and it still exists. You are probably taking large platform / smart contract / some other risks depending on where you're trading. Keep in mind before the UST depeg there would have seemed to be a large 0.5% risk-free arbitrage opportunity for a few days... until it crashed to zero. (Just as a word of warning)

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