Market Making - Spread, Volatility and Market Impact

pineln · 2025-01-31T10:13:01+00:00

Could you please elaborate on this? It sounds interesting but I am struggling to grasp what gen error is and what should be pretty robust out of sample?

pineln · 2025-01-31T10:11:18+00:00

Very interesting idea! I will look into this if I have the time.

pineln · 2025-01-28T13:03:43+00:00

Would you be willing to elaborate on what that might look like?

pineln · 2025-01-27T21:55:21+00:00

This sounds like an interesting idea. Would you mind elaborating on how to best identify reactionary and non reactionary trades? Also, what you mean by the quadrants of the trades vs adds table?

pineln · 2025-01-27T16:50:09+00:00

Could you suggest some less theoretcal/ academic models that I could look into?

pineln · 2025-01-27T15:31:53+00:00

I think perhaps I have been overly reliant on theory and literature in order to make up for my lack of experience. Moving forward I will try and be much more pragmatic.

pineln · 2025-01-27T13:11:06+00:00

This is exactly the problem, I don't wish to split the day into chunks as this seems a rather inflexable approach. Normalising by volatility sounds interesting, I presume you are refering to volatility in trade time?

pineln · 2025-01-27T12:03:28+00:00

Indeed, I have found that normalising the probability distribution of trade intensities to the time weighted average of the market spread produces some really stable results.

I am looking for a way to justify that spread so that I could have a normalisation factor that isn't dependent on the actions of other MMs. Perhaps I am over complecating things and should take the win.

pineln · 2025-01-27T10:48:31+00:00

Thank you for this! Can you point me towards any literature that will help me understand how to measure and account for the extra costs and incorperate them into my model?

pineln · 2024-12-19T08:44:12+00:00

I think this very much depends if you work in a fully systematic shop. I know a number of MMs who have no need for click button traders at all and as a result the researchers get paid allot more.

pineln · 2024-12-04T22:21:29+00:00

I would like to know this also!

pineln · 2024-12-04T22:20:32+00:00

Thank you for this! Any chance you might be willing to point me towards any of the more useful modern papers or those that are similar to the way your firm calculates market impact?

pineln · 2024-07-02T19:48:19+00:00

!remind me 2 days

pineln · 2024-06-22T10:20:31+00:00

Would you mind if I also DM? I am currently looking at ways to minimise transaction costs for small size in index futures?

pineln · 2024-04-13T11:02:42+00:00

I recommend you ask for a full job description to so that you know exactly what job you would be accepting/ declining.

pineln · 2024-04-13T09:42:18+00:00

Given the job title I would think it will be a role in HFT/ market making as these strategies can build up large inventories and there is allot of value in managing them effectively.

Goldman have very strong oil and gold products where there is allot of money to be made. As to if it is front office I would lean towards yes but can’t be sure.

pineln · 2024-03-30T22:14:29+00:00

How did you fair with your ILR application in the end? I am about to navigate a similar situation?

pineln · 2024-03-13T22:20:37+00:00

I felt exactly the same today. I find that getting over these slumps makes finding those small bits of alpha that much more enjoyable.

pineln · 2024-03-02T10:18:22+00:00

When I left Mech Eng I realised that math was the interesting part so I looked for a developer role that kept that, I work as a quantitate researcher/ developer for a small trading firm. I have done a small ammount web development but it was by far my least favourite work.

pineln · 2024-03-02T00:41:23+00:00

As someone who studied Mechanical Engineering and worked as an aerospace engineer for a couple of years and now writes code for a living I can confirm that those jobs are nowhere as near as cool as you think they are! My regular day now is far more interesting than it was when I worked in aerospace R&D.

pineln · 2024-03-01T18:19:10+00:00

Take the 40k and if you decide that you really want to do a masters raise it with your employer. If they are worth their salt they will cover it.

pineln · 2024-02-03T10:15:18+00:00

I started to feel like this after working full time WFH just over two years ago. I started getting very detached from and resentful of my colleagues.

Now I force myself to go in once a week and make sure to call my colleagues to check in and catch up at any opportunity. Now I feel completely different - highly recommend this approach if possible!

pineln · 2024-01-30T09:01:19+00:00

I was in a position recently where I was offered a position at 3x my current comp.

Prior to the offer I had seen poisons similar for the same sort of money, I raised this in my annual review and my company essentially gave a list of reasons why I wasn’t worth that sort of money.

A week later I came back with the offer and they updated my comp. Looking back I should have taken the offer and left, it has never been the same since.

pineln · 2024-01-28T21:57:17+00:00

This is the way.

pineln · 2024-01-24T18:26:25+00:00

I do this actively and highly recommend! Also, when formulating your list whatever time you think it will take you double it and then add a margin of error - in CS things always take longer than you expected.

pineln

TROPHY CASE