Search results

Go for a provider with a microwave capability. This way, you can submit your trades with good latency AND get your ramen ready for lunch!

A manager wasted some Alpha to buy an Omega...

Hmm. $500 is probably total (fairly common, actually). Bases on the buy side are fairly low, base for a PM would be 150-200 in most places.

Do you believe there is any correlation? I.e. what watch you wear, what car you drive etc?

Guys, did anyone save a copy? could you post it or share it please?

LOL, what?

It's PM-level money, I'd say. Making it to PM is hard.

Top quant PMs, maybe and even that is reasonably rare. This dude was a model developer at GS and a researcher at G-Research. If he has a million under his hame I'd be surprised. Not that a couple million dollars is "set of life" in the modern day and age.

How is he set for life? Unless I missed something, he got a single year of GBP400k, no?

Started with 50k, producing 120k a month with a Sharpe of 7. My prior is that something is wrong at the assumptions level. PS. Oh, that's like 3k trades in 6 months, which probably means you are quazi-market making and making unrealistic fill assumptions (either due to latency or some other...

It's the usual story. You join a fund and they are oh so happy for you to share your alpha, but the moment you want to walk out, it's them who taught you and it's a grand secret. Everyone seems to think that other peoples IP is free for all and their own is priceless. Unlike the Oleynikov...

I would imagine that these are mostly OTC markets, right? :)

Well, look at it from another angle - why would you want to have an informed competitor?

It's not that people don't have anything original (the ones who do, keep it very close to their chest) but even how you use it can make a big difference. There is also a matter of letting people know how to front-run you if you disclose your process in detail.

Here is a simple math problem for you. A quant trader joining the likes of Tower Research will be taking home from 20 to 35% of his PnL after costs, depending on his Sharpe Ratio. Usually the lower threshold for a team is 5 million in output capacity. An junior PM at a reputable quant...

Are we? Cause I've been talking about short wings pretty much from the first time I posted in this thread :) In response to @MrMuppet, I am saying that in my recollection, positions that blow up funds are naked short wings, not short gamma. Maybe we are having a serious communication failure and...

As an example, you sell an OTM put on S&P and buy an even-further-OTM call on VIX. VIX is a proxy for markets decline, but it's an imperfect hedge - you can imagine a scenario where S&P is down a lot while VIX has not reached your strike or something like that.

My pleasure. Most of the blowups that I can recall started as short wing carry positions, i.e. strike is far OTM and "the market would not get there". I've seen these both as expressing a view or a systematic strategy (e.g. LJM "safe" fund or these guys for that matter) or as a way to cheapen...

To be fair, most of these people seem to blow up not on gamma, but on wings. I.e. they don't delta hedge and their strikes are far OTM. But yes, it was surprisingly easy to attract capital with various short premium strategies in the past 10 years.

You think? I.e. 80 percent of revenues go to things like technology costs? I was under impression it's closer to 50%, comp included.