Stat Arb
quant_arb
Non-prediction/main-model alpha (this is HUGE), let's talk about it!Topics:-Regime Shift (an extension of risk mgmt)-Position Sizing-Trade Specific Risk Mgmt-Whole Algo Risk Mgmt-Execution Starting with the risk side of things it
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Back to the quant topics:Microstructural fair value!Let's dive into it:1/n The usual approach is to take the midprice which is just the average between the best bid and ask. This
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