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macrocephalopod
macrocephalopod
I wrote here about a misconception people have about float-weighted funds, namely that they "distort the market" by mechanically buying the stocks that rise the most, which is NOT TRUE,
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Say you want to execute a $30k trade in a $1bn mkt cap stock, around 0.2% of adv so not massive but not small. Would that be cheaper in the
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It's not surprising to see a massive grifter says something false -- but in this case it's not only wrong, but the exact opposite of the truth.https://twitter.com/tyler/status/1361389203406340098 Chart below is
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Some thoughts on how big market making firms (eg Jane Street, Susquehanna, Optiver) are structured. Note I have not worked at any of these firms so this is not based
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A wrong belief that many otherwise smart people have is that index funds are “momentum investors” i.e. they mechanically buy more as prices rise and sell when prices fall (example
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Options greeks ranked from worst to best, by someone who doesn't really understand options.10. Rho -- worst sensitivity, very boring, mostly ignored except by people trading very long maturities (who
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"But 'ceph you made a big deal of introducing this with a concrete example and didn't say anything about how the hedge fund would use this to make money."Okay, fair
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A few people in the DMs asking about equity factor models so here's a short explainer.Let's make it a concrete problem -- you are the risk manager at a big
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