Search results

While not simple (and I have no idea what the underlying is, so it could be very costly) he can build up a forward vol position that would be roughly delta and gamma neutral. If he really has a strong view on fixed strike vol across the full surface, that would be the way to go, IMHO.

This is 2nd tier latency once you add your w2w to the flight times. You are not likely to participate in any type of pure arbitrage flow with that setup, it's a very competitive business (unless you are planning to pay for shortwave, FPGAs etc). However, there is plenty of lower (from HFT...

Depends on both the Sharpe and the number of trades, no? An HFT guy with a Sharpe of 12 and 2 million trades over a month would be pretty reliable :)

It's amazing that you are worried about alpha dilution even before you know that you have alpha.

Well, I do come here because I am bored so by that definition I am a troll. However, while I might be ignorant of many things in the world, as an institutional PM with decades of experience, I am pretty aware of what works and what does not. Seems like the members here feel that I got a lot to...

In most cases you don’t need to know the details to understand if someone has real alpha or is just punting. Once you’ve spoken to enough systematic traders, you can usually tell if they are really doing something special - especially at the pre-deployment level. I’d even posit that if a trader...

Physical oil went negative as well, in fact some contracts where there before WTI. Really, there was nothing surprising about it. If you have a product that requires storage, you gonna get charged to store it. If the consumption rate is lower than the production rate, it’s gonna go negative...

Not to sound dismissive, but I really doubt anyone trading through Ninjatrader would have come up with anything worth copying. Despite everyone claiming to make 100% per year, I have not seen that many people here that have a clue and have not seen anyone doing something completely unique.

So I got interested in this question and asked a buddy of mine who does equity market making. The general answer is "it depends on the broker, the order and order routing". Specifically, a directed complex order (e.g. stop, stop-limit or mid-peg sent to a specific exchange or dark pool) will...

Most of these young entrepreneurs take a leave of absence to try to build a company. It's actually a fashionable thing these days, "I am on a leave of absence from [Hayward, Snodfart, etc]". However, should one of these guys fail (and plenty do) they can (and do) go back to complete their...

Yes, undoubtedly top schools give a better education. In part it is due to a more rigorous curriculum in fundamentals and less vocational as lower-end schools tend to be. It's also because of distinctly intellectual atmosphere and the fact that almost every student is very smart. The network...

Of course, Elon says "I don't care about your degree". At the same time both Tesla and Space X are among the biggest employers for high end PhDs in technical fields. Some time ago, I went a university seminar in economics (don't recall by whom, sadly) and he said something along the lines of...

In fairness, most people care about the broad market, ie spooz. Also, actual dollar move on some random contract is kinda irrelevant - what makes sense is scaling the move by the relative volatility, like NDX moves roughly 1.3-1.5 times the spooz. Anyway, I think we saw some serious profit...

LOL, are you twitching with rage as you type? I merely made a point that centrist/non-partisan news outlets like Reuters or Associated Press appear liberal to a lot of people because they report factual information. Some of this information is in direct conflict with "the lore", like that...

LOL. So triggered.

That's because facts tend to have a liberal bias

Well, the conservative side of the numbers I gave you (30% bump in overall mortality) is not a prediction, it's a post hoc observation since these people are already dead. Also, it's not dependent on the infection rate, we are talking about OVERALL mortality rate (number of deaths per unit...

This one is, FWIW (see blow). I'd give it a zero-chance, considering how easy it is for exchanges and banks to move.

Dude, you are rambling and I am not sure what you are trying to say. I am simply taking about OVERALL death rate, look at the NYC data and make your own conclusions. Population of the NYC is 9 million, baseline death rate is 700 (per hundred thousand), so anywhere from 60 to 70 thousand deaths...

#1, of course. I am not intelligent enough to pick up on the great nuances in your reasoning. I linked the NYC age-bucketed co-morbidity data in the second post, it's a very important bit of data. First of all, even if all deaths were due to preexisting conditions, it still is a very serious...