Alphacution Joins Lex Sokolin’s “FinTech Blueprint” Podcast
From Lex Sokolin: "Check out the fantastic podcast conversation from last week here: Understanding Robinhood, Derivatives, and Market Makers with Paul Rowady of Alphacution. In this conversation, we talk with Paul Rowady, who is the Director of Research for Alphacution Research Conservatory. Paul has a deep background in capital markets, derivatives, and the macro structure of the industry. He has been uncovering the transformation of that structure with data driven analyses, making visible the economics of market makers like [...]
According to D. E. Shaw, RenTech and Other Legends: Hindsight is Not 2020
"Quality means doing it right when no one is looking."Henry Ford I couldn't find the exact reference, but sometime between about 2010 and 2015 I wrote (for TABB Group) that when the market regime eventually shifted from the core drivers of the long, low volatility period of the post-GFC era, many quant models would become disoriented and their performance would suffer. This is simply because the behavioral cues of the new chapter would not be embedded in the [...]
Billions of Orders, Trillions of Shares: Comparing NYSE Arca and IEX
"The big question is whether you are going to be able to say a hearty yes to your adventure."Joseph Campbell The intensifying war between that which happens in the dark and that which happens in the light has finally moved equities exchanges fully within Alphacution's cross hairs. Given our belief that leading market makers and other sophisticated, technology-wielding trading firms are disrupting every stakeholder group in the ecosystem, it should come as no surprise to most of our [...]
Alphacution Press: Financial Times on Robinhood’s Brokerage Practices
Alphacution quoted in Financial Times story by Madison Darbyshire in London and Eric Platt and David Carnevali in New York on Robinhood's controversial brokerage practices, "Robinhood faces questions over business model after US censures" (December 19, 2020).
Hudson River Trading vs. Tower Research Capital: Lessons in Strategy Geometry – Part I
"Nature uses only the longest threads to weave her patterns, so that each small piece of her fabric reveals the organization of the entire tapestry."Richard Feynman As a brief prelude to our upcoming case study on Hudson River Trading (HRT), I wanted to tease with some unusual findings: Alphacution has occasionally toyed with understanding the "shape" made by a simple ranking of 13F positions by value, particularly for a selection of leading market making and other proprietary trading [...]
Walleye Trading’s Book: Hiding in Plain Sight
“There is an old saying: If you want to hide the treasure, put it in plain sight. Then no one will see it.”Larry Dossey By now, avid readers of Alphacution know the joke: We have taken that which had previously been hiding in plain sight about the most secretive and mysterious players in the world of trading, and shed some light on them. Hence, today's title image metaphor is a well lit and colorful chameleon set against a [...]
Susquehanna Securities and the Hidden Stat Arb Strategy
"The mind is not a vessel to be filled but a fire to be kindled.."Plutarch The comment has been made here before, likely more than once: As we go along the path of our research, our ability to see - to interpret the data, and the shapes that are formed from that data - tends to improve. This is not only true of newer shapes forged from amalgamations of newer data - and additional sources - but of [...]
HAP Trading’s Book: Hiding in Plain Sight
"It is not the strongest of the species that survives, nor the most intelligent that survives. It is the one that is the most adaptable to change, that lives within the means available and works cooperatively against common threats."Charles Darwin Consider that the capital markets are like an evolving ecosystem wherein the players - from market makers to hedge funds to the largest asset managers, among others - are like various species of creature. Depending on environment conditions [...]
#TBM – Yellen and Me: The Catalyst Behind the Rate Decision
In light of current events, we bring this one back from the Alphacution archives. Welcome to - uh - Throwback Monday? < This is a test. This station is conducting a test of the Emergency Broadcast System. This is only a test.> I had been in this room before. It was the early post-Dodd Frank days. Maybe February 2012. I had authored a study on the impacts of new regulations on collateral and initial margin requirements for OTC [...]
The Plot Thickens: IEX Intervenes in Citadel Securities v. SEC
"It has long been an axiom of mine that the little things are infinitely the most important."Sherlock Holmes For those of you who prefer the Cumberbatch version of Holmes - or anything else you might want to get off your chest - feel free to take your leave to intervene at feedback@alphacution.com... For the rest of you, this is a quickie to highlight the fact that (on Friday the 13th) IEX has taken its own leave to intervene [...]
