Q4 2018 Update: US Stock Market Made Of These!
Last week, in timely fashion, the SEC published the 13F securities list for Q4 2018. Here is our breakdown of the quarterly change in product categories. Refer to the original US Stock Market Made of These! (or below) for the full history: In August 2018, I did what I rarely do anymore: Cut an article out of a newspaper. The title and topic caught my eye, and eventually became the catalyst for some of the analysis presented [...]
2σ’s Market Making Book: Hiding in Plain Sight
Image Credit: Liu Bolin, Museo Enzo Ferrari ~ There is infinitely more than just the devil in the details. ~ Ludwig Mies van der Rohe It is so often said, offhandedly and seemingly without much regard for the underlying meaning, that the devil is in the details. Ever wonder about the origin of this saying? I suppose this might be a silly question for those of you who commonly say things without thinking, but it's still one worth [...]
Optiver, IMC, and a Shout Out to AmsterdamTrader
It has been almost exactly 2 years since "Jack" - the mastermind behind the Amsterdamtrader blog that chronicled a ton of insider's knowledge about the high-frequency trading and market making world from about 2009 thru 2016 - posted his closing submission. Despite that, I still wanted to pause for a minute to give props where they are due. The contents of the Amsterdamtrader still sit out there in the blogosphere, open for any particular puzzle solver to stumble [...]
Citadel Securities’ Book: Hiding in Plain Sight (Teaser #2)
Image Credit: Liu Bolin “The problems are solved, not by giving new information, but by arranging what we have known since long.” – Ludwig Wittgenstein It is said that the best way to eat an elephant is one bite at a time. And, since the aggregated 13F filings of Citadel Securities represent such an elephant-sized trove of delicacies - not to mention the contextual value it brings relative to so many other players - we are only going to chew [...]
The Incredible Disappearing Financial Advisor?
"Tug on anything at all and you'll find it connected to everything else in the Universe..." - John Muir One of our favorite trends to track around here is the pace of change in workflow automation for trading and investment management processes. It is likely the one monumental driver of change that few are paying attention to (as a measure of success) - and even fewer are developing methods to quantify... So, several months ago, when FINRA (the [...]
US Stock Market is Made of These!
"Study the science of art. Study the art of science. Develop your senses — especially learn how to see. Realize that everything connects to everything else.” — Leonardo Da Vinci (~1500) "The real voyage of discovery consists, not in seeking new landscapes, but in having new eyes." - Marcel Proust (1923) In August 2018, I did what I rarely do anymore: Cut an article out of a newspaper. The title and topic caught my eye, and eventually became the catalyst for some of the analysis [...]
Flow Traders’ Book: Hiding in Plain Sight
Image Credit: Liu Bolin “The problems are solved, not by giving new information, but by arranging what we have known since long.” – Ludwig Wittgenstein Launching ourselves right into a new year with a continuation of our curiosity with all the delicious clues lying around in plain sight, we give you a morsel of Flow Traders' book. Perhaps not the precise bromide for your hangover, but one that may end up tickling your intellect and soothing a need for a [...]
Open Access Library Archive
The purpose of the Open Access libraries, and the solicitation to register for access to that library, was to openly share certain research output as examples of what could be found in the Premium Access Library, and to assess levels of interest in various themes. The Open Access libraries originally contained traditionally-formatted reports (i.e. - PDF documents) and various exhibits (i.e. - Powerpoint slides). The Open Exhibit Library was an assembly of all the exhibits that had been [...]
What Is The US Stock Market Really Made Of?
Our recent foray into an analysis of the SEC's Form 13F reporting continues to bear fruit; arguably more fruit than can unreasonably be consumed at even the most festive holiday feasts. And yet, we must soldier on, if for no other reason but curiosity... Here's the quick setup for this one: Each quarter, the US Securities and Exchange Commission (SEC) publishes its list of equity and equity-linked securities for which certain asset managers (with aggregate holdings valued greater [...]
Top 10 Stories of 2018
“Study the science of art. Study the art of science. Develop your senses — especially learn how to see. Realize that everything connects to everything else.” — Leonardo Da Vinci 2018 was a truly fascinating one here at Alphacution, thanks to you... A little over three years into this project - and a ton of diverse, experimental research on the impacts of technology within the global financial services ecosystem - and, in many ways, we have only just begun to hit our [...]
