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.
1,116 documents
The document examines definitions of a market-making strategy in a supervised-learning context. The cited definitions describe a strategy as a time-dependent vector of quotes selected using a prediction, and a market-making strategy as paired bid and ask…
The document considers why trading firms might locate near Bloomberg’s data center and relay information to New Jersey over microwave links. It distinguishes market news from information available through Bloomberg’s electronic trading platform, EMSX. The…
The discussion considers whether short-term directional strategies may work better in markets with more uninformed traders. The response says uninformed flow can be valuable because it is less informed about near-term prices, but does not develop a strategy…
The document considers whether Interactive Brokers data can be fetched directly by a hosted web application when its API requires Trader Workstation or IB Gateway to run as a separate executable. The responses argue that continuously collecting live or tick…
The document offers a framework for choosing the sampling interval for intraday market research instead of assuming that five-minute bars are always appropriate. The researcher should match the data frequency to the trading horizon they can act on and to the…
The document explains why a latency figure is meaningful only when its start and end points are specified. It distinguishes order-to-accept latency, the round trip from sending an order until receiving an acceptance, cancellation, or execution response, from…
The document discusses the Corwin–Schultz estimator, which infers bid-ask spreads from high and low prices over consecutive days. Its derivation relies on a geometric Brownian motion assumption and a relationship between one-day and two-day variance,…
The document asks how to annualize a Sharpe ratio for an intraday strategy evaluated with prices sampled every ten seconds. The trader describes computing each interval return, summing those returns to form a daily result, and then applying the usual…
The discussion explains how market makers provide liquidity and manage the risks created by their quotes being executed. Their strategies consider whether incoming orders may contain information about future price moves, and they adjust quotes to control an…
The document describes why financial institutions clean vendor and market data before using it in quantitative models. It distinguishes high frequency trade and quote records from reference data such as dividends, maturities, coupons, and amortization…
The document explains two quote adjustments used in high-frequency options market making. An offset shifts a quote away from its theoretical price to account for inventory: a market maker holding too much of an exposure can skew prices to encourage trades…
The document compares several definitions of high-frequency trading and explains why trades per second alone do not settle the question. Some answers focus on very short holding periods or tick-level data, while another emphasizes latency-sensitive…
The document considers whether a developer with an existing FIX engine should implement a FAST protocol engine from scratch. The only answer advises against building a custom implementation, arguing that established commercial libraries have been tested and…
The document collects public claims and opinions about Renaissance Technologies’ Medallion fund rather than establishing a definitive account of its trading strategy. Suggested techniques include algorithmic trading, information theory, hidden Markov models,…
The document considers how to use rapidly changing limit order book features, such as spread and bid-ask imbalance, to predict a future midprice. It suggests testing recent history or aggregation and emphasizes that useful inputs may include time of day,…
The document concerns noisy, incomplete one-minute price and volume data for several stocks, with the goal of forecasting volatility for the month after the sample ends and investigating whether volatility is related to liquidity. The response recommends an…
The document considers how to infer whether a trade was buyer or seller initiated when a feed omits the aggressor-side field. A basic quote test labels trades at or above the best ask as buys and those at or below the best bid as sells, leaving trades inside…
The document presents several uses of the term microstructure noise. In high-frequency econometrics, it can mean disturbances that make estimates such as realized volatility unstable. In market microstructure, it can refer to observed price deviations from…
The document outlines three approaches to modeling limit order books. Zero-intelligence models represent event frequencies and order sizes with relatively simple distributions. Two-dimensional flow models track changes to the best bid and ask queues.…
This community discussion describes several routes into quantitative finance, including transitions from computer science, physics, statistics, and other academic or commercial backgrounds. It stresses that “quant” covers distinct jobs, from derivatives…
The document frames a feature-selection problem using order book snapshots with five bid and ask price levels, corresponding displayed quantities, and a midprice defined from the best bid and ask. The proposed target is the change in midprice across a few…
The discussion outlines ways to study high-frequency quotes and trades when observations arrive at uneven intervals. It recommends first defining the target, such as volatility or correlation, and accounting for how measurement intervals affect the…
The document raises a market design question: could an exchange collect orders during fixed intervals and match them together at each interval’s end, instead of processing each incoming order immediately? It contrasts this proposed batch process with…
The document asks where to learn econometric methods for continuous-time models when observations arrive at discrete times. It explains why the topic is relatively specialized: standard econometrics and time-series texts may give it little attention, and…