Susquehanna and the Option Gods: Hiding in Plain Sight
“The problems are solved, not by giving new information, but by arranging what we have known since long.” - Ludwig Wittgenstein Who are the buy-side's smartest and most powerful players today? Alphacution is working towards a clear answer to this question. Not just a list, but a ranking of the top players in global markets today - starting with the buy-side. Chances are high that the players that earn their way onto such a list - and, rise [...]
#ICYMI: The King of ETF Trading?
It was a holiday shortened week last week, and a lot of folks were OOO with brain settings dialed to low intensity. So, I thought we would try this one again, keep it short, tight and appropriately entertaining: With the heavy lift of the Citadel Securities case study ink (mostly) dry, we now turn our attention to the next series of puzzles. Generally speaking, the puzzles that captivate in the immediate future include 1) the rankings of market [...]
Deconstructing Citadel Securities: Overview and Expanded Executive Summary Available for Download
Image Credit: Fabian Oefner "Research is what I'm doing when I don't know what I'm doing..." - Wernher von Braun Overview It was July 18, 2018. The scene was the 8th annual CNBC- and Institutional Investor-sponsored Delivering Alpha Conference. One of the main highlights of the event is Andrew Ross Sorkin’s fireside chat-style interview with Citadel founder, Ken Griffin. Among the many topics covered, the discussion confirmed that “1 out of every 5 stocks is trading [...]
The King of ETF Trading?
It's a holiday shortened week and a lot of folks are OOO with brain settings dialed to low intensity. So, we will keep this one short, tight and appropriately entertaining: With the heavy lift of the Citadel Securities case study ink (mostly) dry, we now turn our attention to the next series of puzzles. Generally speaking, the puzzles that captivate in the immediate future include 1) the rankings of market makers, prop traders and quant players (both, buy-side [...]
Gamification and the Future of (Alternative) Data
"In good information visualization, there are no rules, no guidelines, no templates, no standard technologies, no stylebooks... You must simply do whatever it takes." - Edward Tufte Whether you are a consumer or purveyor of data for the application of financial markets risk transfer, there's something in here for you. Let's start with a quick trip in the Wayback Machine: In a report that I authored for TABB Group that was published in June 2011, "Quantitative Research: The [...]
Tradeweb Completes IPO, MarketAxess No Longer Lonely…
"There is no avoiding pain, especially if you’re going after ambitious goals." - Ray Dalio The dominoes started falling years ago. It is only now - last week, on 4 April, to be precise - that we receive a new perspective on the data. Here's the setup: Quantitative methods and automated trade workflows started to shift the consumption of market data from eyeballs to servers way back in the 1990's. As automation of front-office (i.e. - signal generation) [...]
The Global Stock Market: More of These, Less of Those
"Learn how to see. Realize that everything connects to everything else." - Leonardo da Vinci Given our ongoing fascination with 13F reports and the undulating list of 13F securities, which recently gave rise to our post, US Stock Market: Made of These, we have now turned to our old friends - and the data they curate - at the World Federation of Exchanges (WFE) to 1) corroborate some of our findings from the 13F dataset, and perhaps much [...]
Jim Simons, Godfather of the Quants: Hiding in Plain Sight
"Don't let the noise of others' opinions drown out your inner voice." - Steve Jobs "There is no real substitute for common sense - except for good luck, which is a great substitute for everything." - James Harris Simons It was the late 90's, a time when the moniker of "Godfather of the Quants" may have still been open for debate. Edward Thorpe, of Princeton / Newport Partners and among the first mathematicians to study patterns in financial [...]
Citadel’s Secret Special Sauce (Updated)
As excerpted from the case study, Deconstructing Citadel Securities Alphacution believes that Citadel’s core competitive advantage – its secret sauce – can be found on display every day, out in the open, and is not related to a specific product, asset class, region or even a specific trading strategy or temporal wave of theoretical alpha. No, the thing that makes Citadel so unique is its focus on process. You just need to know what to watch for. Everything [...]
Robinhood: Payments for Order Flow 2018, Up 227%
The latest figures on order routing revenue are easy to find. With the exception of Robinhood Financial - the new, no commission, retail-focused trading app for stocks and cryptocurrencies - order routing revenue is clearly disclosed by the incumbent trading platforms; namely, TD Ameritrade, Schwab, E*Trade and to a lesser extent, Interactive Brokers. However, in any case, something seems to be heating up as aggregate payments for order flow (PFOF) breaks from the range of the previous five [...]
