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.
24 documents
These reading notes survey high-frequency trading from market structure through strategy and infrastructure. They describe electronic order books, the roles of investors, market makers, arbitrageurs, and directional predictors, and how market makers earn…
This survey outlines a broad set of systematic approaches across equities, currencies, futures, options, and fixed income. It describes cross-sectional signals such as price and earnings momentum, book-to-price value, volatility, and combinations of factors;…
This document explains how to trade a cointegrated pair using entry and exit levels produced by a minimum-profit optimization method. It defines a spread from the two asset prices and a hedge coefficient. When the spread falls below the buy threshold, the…
This page introduces a lesson on using correlation coefficients to identify stock candidates for pairs trading and then building a strategy to trade them. It frames correlation as a screening tool for finding potentially suitable arbitrage pairs, followed by…
This overview classifies quantitative funds by strategy, market, instrument, and time horizon. It describes trend following, which seeks sustained price moves and can have a low win rate while relying on occasional large trends, and countertrend trading,…
These reading notes discuss James Simons and Renaissance Technologies as an example of systematic investing built by combining mathematical research, statistical signals, computer models, and automated execution. The notes contrast discretionary investing,…
These notes summarize a practical framework for developing an independent quantitative trading operation. They cover choosing strategies that fit a trader’s capital, skills, time, and income goals; screening ideas with benchmark comparisons, Sharpe ratio,…
This document is a job listing for a quantitative strategy researcher in Hangzhou. It outlines research responsibilities that include building quantitative models for financial markets, studying arbitrage approaches such as statistical and event arbitrage,…
This overview explains why financial institutions may consider digital assets and surveys market structure, asset categories, trading venues, and regulatory developments. It contrasts crypto markets with traditional finance, emphasizing continuous global…
This overview surveys private fund investment approaches, outlining how managers combine asset selection, portfolio construction, and risk management. It covers equity long-only, long-short, and market-neutral strategies; managed futures trend and arbitrage…
The document explains statistical pairs trading as a market-neutral mean-reversion approach. It describes selecting two securities with historically similar price behavior, then selling the relatively expensive leg and buying the relatively cheap leg when…
The document describes buying already-listed Chinese convertible bonds at lower prices and selling them higher, including the appeal of same-day trading and lower stated transaction fees than stocks. It contrasts this approach with bond subscriptions and…
This primer introduces stablecoin categories, then focuses on fiat-backed tokens and the factors users should weigh when assessing them. It discusses issuer governance and control, reserve transparency, the difference between attestations and independent…
This report examines whether investors could exploit price gaps when a heavily suspended Chinese stock resumed trading. The proposed approach models how repeated limit-down sessions affect the net asset value of funds holding the stock, then adjusts the…
The article introduces algorithmic trading as a way to automate rule based market analysis and order execution. It describes potential uses including applying technical indicators, high frequency trading, arbitrage between markets, scalping small price…
This document outlines the risk-neutral argument behind the Black–Scholes partial differential equation for a European option. It starts with a stochastic model of a stock price and applies Itô’s lemma to describe how an option’s value changes with the…
The document explains calendar spread arbitrage: taking opposite positions in different delivery months of the same futures contract when their price relationship departs from its usual range. It describes bull spreads, which buy the nearer month and sell…
These reading notes survey quantitative investing methods across stock selection, market timing, futures and options arbitrage, statistical arbitrage, algorithmic execution, and asset allocation. They outline factor selection, style and sector rotation,…
These notes introduce derivatives as contracts whose value depends on an underlying asset or other variable, then distinguish exchange-traded markets from over-the-counter trading. They outline forwards, options, futures, and swaps, explaining basic contract…
This article introduces cross-commodity futures arbitrage as trading the relative price of two related contracts, typically entering opposing positions when their spread or ratio moves away from an expected range and closing as it reverts. It groups…
These notes introduce statistical arbitrage through pairs of assets whose price spread is believed to be stable over time. The example tests for cointegration, estimates the spread’s mean and standard deviation, and sets entry thresholds around that mean.…
This essay explains how expected value, expected utility, and prospect theory can lead people to make different choices under uncertainty. A button example contrasts a guaranteed smaller payoff with a larger payoff available at a lower probability. It then…
The document introduces factor-based stock selection and groups factors into company fundamentals, external conditions, and market behavior. It surveys classic models, including Fama–French, Carhart, and other factor sets, and explains that there is no…
This overview explains three exchange designs used for cryptocurrency trading: central limit order books (CLOBs), request-for-quote (RfQ) systems, and automated market makers. In a CLOB, buy and sell orders are collected and generally matched by price and…