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No. Goldman and others do not pay top dollar for IT. If you're not on the revenue side of the business, you're a cost, and costs must be crushed to zero. In addition, every moronic tech grad wants to work for an investment bank these days. Massive nerd supply. All undercutting each other. Great...

Could not have said it better myself. Typical IT project: Managed by a failed programmer, and built with third world precision. Sales skills trump technical skills, any day of the week.

There has been more broad correlation over the past 3 years than ever before. Divergence, and dispersion have been a mug punter’s bet. Not hard to measure. Anyone who believes otherwise is lazy, a moron, or selling something without efficacy.

Mate, I appreciate that you're running an advise business, but I think you may need to explain how you "know" when something is diverging and not comming back. None of this stuff is easy, nor a sure thing, and the quant competiton out there is lot more than some dude looking at correlation &...

Need own tools, but may be "just" spreadsheets... plus some C++ / R / Matlab, for fiddly bits. For short lived gyrations, single tick reversions etc, will need own execution algos also. Getting hard with perverse HFT competition however. How useful? Depends on you. Where's your edge...

I am looking for an answer to the same question. About to build my own price ladder UI otherwise. duh.

The equity based spreads I am familiar with have been more volatile, but not in a necessarily bad way. Volatility rather than divergence, largely.

Pardon my ignorance .. but are we talking an options butterfly or an inter-month futures spread? [HFT-Equities-Delta-One-Portfolio-Guy .. Mostly]

Sure you can .. at least on average. Unless you have no quantifiable edge. Because then you'd be a mindless punter .. playing for the thrill, loving the blind risk, the hope, the pain .. rather than being a robot hacking away to capture a marginal positive expectancy.

"If you're profitable" :p But .. of course, clearly everyone here is profitable. It's that simple. All living the dream. All winners in the zero sum game..

"obviously if you get caught out there are problems." unless you only enter the shorter term trades in the direction of the longer term bias? :p

+ something along the lines of simple variance ratio tests .. to identify potential reversion timeframes .. occasionally finding several .. with different means .. for the same combination of instruments .. :eek: ..

Will reply to this fully later. In the mean time .. the distribution of the residuals, and the fitting of an AR model is .. interesting .. and I think, perhaps where the juice is. The rest is just "work" by comparison, no?

Keen to discuss .. & maybe also divergence from mean vs divergence of mean.

return over risk free / vol .. +/-

* Interested. Something about a required return to overcome an expected volatility?

=> If your fund manager has a marketing department, then you are not a very good investor.

So effectively the HFT is on swap with their broker in this example .. with the broker holding their actual positions, and taking credit risk against the HFT, in so far as the swap obligations are concerned. Sounds expensive for the HFT in terms of txn costs, exp whatever margin the swap desk is...

Actually it makes complete logical sense.. ** Lever the levered leverage.. ** And worst case, you're out 20k + interest. * Not that I'd recommend this though.

right on.