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 [...]
Citadel Securities: Estimated 2018 Revenue
"Above all else, show the data." - Edward Tufte "Torture the data, and it will confess to anything." - Ronald Coase While a lot of folks are allowing their attention to be hacked by the latest tweet, squirrel or AI-vowel combo to float by - and the entire landscape begins to suffer from an increasing left-brain imbalance - let's not forget the value of authorship. You know, the thing that reminds you that your "AI" is still [...]
Deconstructing Citadel and Why It Matters
Image Credit: Fabian Oefner "The voyage of discovery is not in seeking new landscapes but in having new eyes." - Marcel Proust “Learn how to see. Realize that everything connects to everything else.” - Leonardo DaVinci In my mind, memories of the childhood home are dominated by those of vast spaces. A colossal stairway, a living room like a grand ballroom, the front and back yards both like baseball stadiums. My father is there - like a giant [...]
Meanwhile, High Above the Grand Havana Room with Izzy Englander
Image Credit: John Rowady, Havana, Cuba "You can't connect the dots looking forward; you can only connect them looking backwards. So you have to trust that the dots will somehow connect in your future. You have to trust in something - your gut, destiny, life, karma, whatever. This approach has never let me down, and it has made all the difference in my life." - Steve Jobs There was a time, years ago, when I had a cigar attached to some part of my body pretty [...]
Marshall Wace’s Book: Hiding in Plain Sight (in London)
"There's an old saying: If you want to hide the treasure, put it in plain sight. That way no one will see it." - Larry Dossey It was only a matter of time. Sooner or later, Alphacution would need take its analysis further out on the road. Sure, we recently sent a warm shoutout to the AmsterdamTrader with our article focused on Optiver and IMC, so this would not be the first time we ventured outside our own [...]
