Morgan Stanley: Swimming Against The Tide
Returning to a provocative thread from late 2022, Alphacution updates some of Morgan Stanley's latest moves in wholesale market making...
The Transformation of GTS – Part II
On the 1-year anniversary of what would turn out to be Part I of this thread, Alphacution adds new details to the story of New York-based prop trading firm GTS Securities and its emerging adventures in option market making...
The Mania Market And The Emotional Money
For the longest time, the use of technology gradually removed excess costs and other inefficiencies from financial markets. This evolution wasn't just about speed, although that was a key element. And then advanced quantitative trading techniques, social media techniques, and mobile-first technologies converged. This is Alphacution's view on what's happened since and what that means for the road ahead...
Tower Research Capital: Seeking Option Traders?
In further preparation for its upcoming case study focused on option market makers, Alphacution identifies a seemingly insignificant shard of evidence that may represent Tower Research Capital's first foray into equity option trading...
Millennium, Two Sigma, D E Shaw: Big Quants, Big Options
Alphacution has been quite busy developing its next case study focused on option market makers. To build context for that research, we have been expanding our understanding of institutional option traders. It turns out that there is a familiar cast of characters in this space, including some of the most legendary quantitative hedge fund managers...
D E Shaw: Exposing Mid-Frequency Sector Bias
Alphacution continues to expose breakthroughs from the development of its proprietary version of the 13F dataset. Our example comes from pioneer statistical arbitrage group D. E. Shaw & Co., Inc... The full Feed post is available to Silver and Premium subscribers...
D E Shaw: Exposing Mid-Frequency Sector Bias
Alphacution continues to expose breakthroughs from the development of its proprietary version of the 13F dataset. Our example comes from pioneer statistical arbitrage group D. E. Shaw & Co., Inc...
Virtu’s Q3 Net Trading Income Was Predictable Before Earnings Release
Alphacution presents an excerpt from its analysis of the relationship between Rule 605 data and net trading income from retail order flow - along with a selection of updated charts for Virtu Financial for Q3 2023... The full Feed post is available to Silver and Premium subscribers...
Virtu’s Q3 Net Trading Income Was Predictable Before Earnings Release
For wholesale market makers in US equities there appears to be a relationship between Rule 605 data and net trading income from retail order flow. For Virtu Financial, a public company and the closest example to a "pure play" in US equity wholesaling, this relationship could have been estimated before the Q3 2023 earnings release date. In this Feed post, Alphacution shares its analysis for this finding - and why it's not the most important component of this discovery...
The Evolving Value of Edge
What is the value of trading edge? Using "revenue per employee" as a comparative indicator, Alphacution dives deeper than ever before into Virtu Financial's market making business. The results cause a dramatic re-ranking of Virtu in a list of 10 market makers - plus a few other fascinating findings...
