Off the back of some recent modeling upgrades, Alphacution is finally able to share sample analysis of one of the largest customer accounts in the US equity option market: Parallax Volatility Advisors, LP...
Crypto markets are a rapidly evolving landscape. Recent additions to the Pyth Network help Alphacution expand its roster of crypto market makers, liquidity providers and potential new entrants...
"For every action in nature there is an equal and opposite reaction." - Sir Isaac Newton The performance - or, health - of complex systems is difficult to measure. Typically, you need deviations from norms across numerous sensors - the analytics - converging to signal whether a complex system is functioning properly or not. Add the inevitability of change, and the task becomes exponentially more challenging as continuity of measurement over time decays... And then, there's the stuff that's difficult to measure, if it's measured at all. The intangibles. The slippage factors that don't come into play until they do. Like, a global pandemic - or when a frustrated segment of the population spills out into the streets in cities - big and small - across the landscape... The indicators most commonly used to signal the health of our complex markets may no longer serve their stated purposes. For instance, does the VIX still measure fear? Aside from today's notable spike, the equity markets appeared to have returned to normal volatility [...]
When we launched our first trading program at Quantlab in the late 90's, we didn't have direct market access yet. We generated an order list (overnight) that was worked throughout the subsequent market session at the discretion of an algo-equipped executing broker; some of whom now roam the halls at Jefferies / Leucadia. This was the era when 1- to 3-day portfolio turnover was considered fast - SOES bandits were still a thing - and Schwab would soon acquire electronic trading pioneer, CyBerCorp, from Philip Berber - a short drive down the road from our Houston headquarters in Austin, TX. Of course, everyone had nicknames then - as I suspect they still do now. Ed Bosarge, founder of what eventually became Quantlab (after at least 3 prior related incarnations that began for me around 1996), was known as Dr. Evil. Let's just say it's a hair-raising story about a swashbuckling pioneer of applied math involving a hideous toupee... I was known as Mr. Bigglesworth - or, "Bigsy" for short. No [...]
