1 like = 1 finance/markets/trading concept described in a tweet
Also, am taking requests
Also, am taking requests
Markets are made up of people, with different agendas. Big, small, aggressive, patient. They reveal their intentions by how they trade -- patterns in order placement and execution. A healthy market has a large diversity of animals in the zoo.
Cc @pauld44 https://twitter.com/michelteivel/status/1254048315919958016?s=19
Cc @pauld44 https://twitter.com/michelteivel/status/1254048315919958016?s=19
HFT, really any short term trading (under a few days), is about predicting temporary imbalances in supply and demand.
e.g. Lots of demand just showed up. If you can predict supply is coming soon, you'll want to bridge the gap for a small profit. https://twitter.com/garybasin/status/1254045190635036672?s=19
e.g. Lots of demand just showed up. If you can predict supply is coming soon, you'll want to bridge the gap for a small profit. https://twitter.com/garybasin/status/1254045190635036672?s=19
Ants: make up the majority of the activity, moving small amounts around at a time. No bias.
Mules: they need to keep buying every day, it's in their rule book.
Vultures: looking for situations where everyone else has given up. https://twitter.com/michelteivel/status/1254049802473689088?s=19
Mules: they need to keep buying every day, it's in their rule book.
Vultures: looking for situations where everyone else has given up. https://twitter.com/michelteivel/status/1254049802473689088?s=19
Don't hear of much success applying big neural nets to market prediction. It can help on the margin, but not as a major alpha source afaict.
Other aspects of "ML", which we like to call *statistics*, is bread and butter in quant trading. https://twitter.com/michelteivel/status/1254051153182064642?s=19
Other aspects of "ML", which we like to call *statistics*, is bread and butter in quant trading. https://twitter.com/michelteivel/status/1254051153182064642?s=19
Stock prices are weird. The "last price" is the price of the last trade. The real state of reality is a stack of orders willing to buy and sell at various prices. Occasionally they match with each other and emit another trade.
Did I misunderstand q? https://twitter.com/dideler/status/1254051828272168961?s=19
Did I misunderstand q? https://twitter.com/dideler/status/1254051828272168961?s=19
Many quants are sampling some techniques from ML. Most of ML, in its current form, is ill-suited for time series prediction. There is probably some stat innovation unique to trading. https://twitter.com/michelteivel/status/1254052813627363328?s=19

You don't care about the option to go sailing if there's a storm.
Yes! I'm not expert but many hedge funds derive practically all of their alpha from alt data.
Random idea for alt data: Google ads being shown for a private browser for specific keywords https://twitter.com/michelteivel/status/1254054635318530049?s=19
Random idea for alt data: Google ads being shown for a private browser for specific keywords https://twitter.com/michelteivel/status/1254054635318530049?s=19

If you are farming corn, and you plan on having 10k bushels in May, you can lock in the price that you will get today by selling a May Future.
Beats me. Can't get much faster, and many are dabbling in custom chips already. I always wondered why exchanges didn't lease compute cycles directly on the matching engine. Maybe that's the future.
Cc @dendisuhubdy https://twitter.com/michelteivel/status/1254055579242332160?s=19
Cc @dendisuhubdy https://twitter.com/michelteivel/status/1254055579242332160?s=19
I mostly like the old school investment guys. People in trading with good ideas don't tend to be very public about it, so hard to say. Dalio seems pretty out of it, but they weren't really a trading firm. Simons is obviously still a God. https://twitter.com/michelteivel/status/1254056215090548737?s=19
Yes. Location doesn't really matter if you can attract the talent. https://twitter.com/michelteivel/status/1254057005372903425?s=19
If it's truly risk free, then mostly just how non-obvious it is. Otherwise, stuff like access to capital, especially leverage. Also, how many competing opportunities that are better. https://twitter.com/lhgstm/status/1254057712759050241?s=19
Yea, TA is just patterns. But humans use heuristics and patterns for decision making, even if they don't believe in TA. Rounds numbers are magical to people. Anchoring effects, etc. There are more direct ways of finding this stuff than lines on charts. https://twitter.com/RBayes14/status/1254058793937391616?s=19
I'm not sure. I would look outside of crypto, towards less liquid assets. Maybe smaller countries, or personal loans (eg LendingClub has an exchange, I believe) https://twitter.com/michelteivel/status/1254058815235985411?s=19
Yea most of what I see is startup-esque. Probably just following the availability of VC cash https://twitter.com/michelteivel/status/1254059851598245896?s=19



In general, it's data + rules in, and trades out. No human in the way, except for designing and building. https://twitter.com/RBayes14/status/1254061850821562371?s=19
Yes, microwave networks are most definitely a thing. Huge competitive advantage for the firms with the fastest links between key venues. https://twitter.com/michelteivel/status/1254062353123102721?s=19



That's a tricky one. I don't have strong feelings. Probably I'd want to regulate leverage -- reduce it for non-bank entities, especially. Also, maybe intratrading in general -- but I don't know how to curtail that w/o weird side effects. Shorting is good. https://twitter.com/lhgstm/status/1254062934730440709?s=20







Don't take my word for it, here's Stephen Shwarzman: https://twitter.com/garybasin/status/1229216233549111298 https://twitter.com/breakingthemark/status/1254071435003387904?s=20
If you have lots of alpha, basically none. Spin up an IB account and trade from there.
At the other extreme, if you're competing mostly on speed, then FPGA, or maybe some custom hardware. Million bucks per year? https://twitter.com/new_rinat/status/1254081506584211456?s=20
At the other extreme, if you're competing mostly on speed, then FPGA, or maybe some custom hardware. Million bucks per year? https://twitter.com/new_rinat/status/1254081506584211456?s=20
They could provide better strategies than what they do now (see: @breakingthemark ) but I don't think it's a great business. Typical people don't pay for this, they pay for babysitting (telling them not to sell)... so they'll become plumbing, maybe? https://twitter.com/michelteivel/status/1254082563750199296?s=20
There's no right/wrong answer. Depends on circumstances. Sometimes you want to consolidate and create optionality, other times it's better to protect your downside and put all chips on making a single outcome happen. https://twitter.com/nerdornever/status/1254085901489254402?s=20

Haha a question for @MutinyFund. I don't see how typical bubble dynamics can play out with index funds. But I do bet there is more return available to active management than before. https://twitter.com/michelteivel/status/1254092253062201344?s=20
Probably? It's a good Q. In the wild west of crypto, sheer institutional momentum might be enough to keep T liquid even if it turns out it's not backed by anything. As if any of these shitcoins are backed by anything, anyway https://twitter.com/new_rinat/status/1254093165927239680?s=20





Quant trading has mostly consolidated to a few big firms. It's a "late stage industry" and is probably in decline. Would be surprised if it had substantial new impacts going forward. https://twitter.com/O900913S/status/1254104475964526593?s=20

Owning stock is equivalent to +1 (long) Call and -1 (short) Put. Short a Call on that and you are just left with being -1 Puts. You probably don't want that. https://twitter.com/TaylorAdler2/status/1254104965447954433?s=20


Shorting means you don't need to put cash up front. That cash up front, to purchase the put, can be really expensive when markets are crazy. The option is valuable! You pay for that premium, and it erodes over the life of the option. https://twitter.com/dvassallo/status/1254107359619608576?s=20





Just like any other product, if you can predict it, you can trade it profitably. https://twitter.com/DeepSpaceHarbor/status/1254113160522608642?s=20
Increased moral hazard, eventually inflation for USD. But it might take a really long time https://twitter.com/Digoriii/status/1254122058230804480?s=20
Maybe not black swan... but Emerging Markets could have sweeping defaults which would lead to regional military action https://twitter.com/new_rinat/status/1254123270716211201?s=20
Buybacks and dividends both give cash back to shareholders. But buybacks do so in a way that increases the share price. This is especially appealing to executives who has stock options. You can see the potential for conflict of interest. Probably overblown https://twitter.com/CantHardyWait/status/1254127819581468675?s=20
Countries issue debt to fund all kinds of stuff, famously wars. If they're lucky, they can issue in their own currency. Sometimes, they'll do it in another country's currency, in return for a lower interest rate. This can be hard to pay back later. https://twitter.com/CantHardyWait/status/1254128019930841092?s=20

Risk on = business as usual, desire for incremental returns, let's short vol
Risk off = protect what you have, or get protection to disaster (+vol) https://twitter.com/Alex_Danco/status/1254132683371884545?s=20
Yes, I know a few that make $500k-2mil range, but the club is small and you need to keep adapting to keep up https://twitter.com/hmmmcurious/status/1254132825101664256?s=20


This is a way of making a short bet on... anything that can default https://twitter.com/Mauriziocalvo_/status/1254137604720791553?s=20








Still probably HFT, followed by any hedge fund. Check out Two Sigma, Jump Trading, Tower Research, etc. https://twitter.com/advicebypatel/status/1254148979266326533?s=20

Historically, yes, real estate has performed relatively well in inflationary environments. The one caveat I would add is that inflation will mean higher interest rates, and higher interest is not usually good for real estate prices. I prefer Gold! https://twitter.com/Digoriii/status/1254192130710335488?s=20