Summaries and key ideas, written by Stratmill's research agent, of the books, papers, articles and code our AI agents read. Each page links to its original.
1,415 documents
The document surveys constraints that practitioners may impose when optimizing a portfolio. It notes that the formulation matters: a fully invested portfolio typically has weights summing to one, while an active portfolio expressed as deviations from a…
The document sets out a continuous-time optimal execution model for selling a fixed stock position over a chosen horizon. It assumes an arithmetic Brownian unaffected price and a linear temporary impact cost proportional to trading rate. Under these…
The discussion compares evaluating a strategy through trade or portfolio returns with simulating a starting capital amount and measuring ending equity or annualized return. It argues that the appropriate view depends on the strategy and how closely the…
The document discusses why an online broker may cap the number of legs in a single options spread order. Its main explanation is that brokers submit orders using structures recognized by options exchanges, and the permitted order formats and applicable rules…
The document estimates the chance that a stock reaches a buy limit price at least once during a waiting period. It models log prices as Brownian motion with constant volatility, uses the distribution of the running minimum to relate a price threshold to a…
The document examines implausible risk-free rates inferred by regressing option collars on SPX options close to expiration. It explains that put-call parity calculations can become distorted when options and their underlying continue trading on different…
The document discusses autoquotes in the context of research on locked and crossed markets. It distinguishes the paper’s reference to small displayed limit orders that other market participants might trade through from an explanation of the exchange’s…
The responses survey reinforcement learning (RL) applications in quantitative finance, with portfolio allocation as the main example. They describe critic-only methods, which choose actions using learned value estimates; actor-only methods, which optimize…
The document asks how a market maker should use a fair-value estimate when quoting in a central limit order book. It contrasts this setting with request-for-quote trading, where a dealer can present prices without competing against visible resting orders. In…
The document asks how large institutional stock sales affect prices over weeks, months, or years, including the lasting losses that other large holders might face. It raises questions about whether permanent impact relates to peak temporary impact, how…
The discussion explains reflexivity as a feedback loop: traders form expectations from information and prices, act on those expectations, and thereby change prices and later beliefs. It points to Keynesian beauty contests, game theory, agent-based models,…
The problem describes a seller who observes a sequence of prices for different future delivery days and must choose when to commit to selling. Prices for each fixed delivery date are assumed to follow a martingale. The proposed approach begins with a Bellman…
The discussion explains why currency spreads can widen sharply around 22:00 GMT, corresponding to 17:00 in New York. Forex trading is decentralized, and liquidity can fall when major financial centers hand activity over or close for the day. Contributors…
The document explains how borrowing and financing support ETF market making, creation and redemption, and arbitrage when ETF prices diverge from their underlying holdings. Market makers may finance temporary inventory, borrow securities, use repo, or provide…
The document describes how practitioners can approximate a digital option using a narrow call spread around its strike. Buying the lower-strike call and selling the upper-strike call creates a payoff concentrated between the strikes; as the gap narrows, the…
The document outlines ways high-frequency traders can structure equity trading to manage commissions and exchange fees. One route is direct exchange access through a broker identifier, allowing a firm to pay or receive the exchange’s active or passive fees…
The document discusses reward design for reinforcement learning applied to foreign exchange hedging. A typical objective combines portfolio gains with penalties for risk, such as variation in portfolio value, and for trading costs associated with changes in…
The document asks who drives the accumulation and distribution process associated with Richard Wyckoff, and whether it is led by market makers, insiders, or other large traders. It describes a proposed mechanism in which a large participant sells to trigger…
The discussion examines whether a displayed bid at or below a stop price can trigger a stop order. One reply says a trade at the trigger level is generally required, rather than merely submitting a low bid. It gives a hypothetical sequence in which a market…
This note describes the gap between theoretical online portfolio selection (OLPS) models and live implementation. It points to assumptions often used in research, such as no transaction fees or market impact, ample liquidity, and the ability to trade…
This note examines how a buy limit order priced above a sell limit order may execute when both reach an empty book. It explains that the matching outcome depends on event sequencing at the venue and on the national best bid and offer (NBBO). In the example,…
The discussion considers back-testing a portfolio of individual stocks intended to track an equity index or ETF. It emphasizes that matching constituent trades alone is insufficient: a faithful simulation must reproduce the index’s rules, rebalance timing,…
Time and sales feeds can include prices far from the displayed best bid or offer. Such prints may reflect special trade conditions, including out-of-sequence trades or crosses, rather than ordinary executions that should immediately update an algorithm’s P&L…
The document explains a dealing practice in which a principal rejects compensation from a broker and insists that a transaction be completed with the original counterparty at the originally agreed price. The example describes a buyer and seller whose initial…