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Any chance for some career advice? I am interested in the pure mathematics courses that are relevant in quant finance and expected knowledge. I have a MFE from a good university but studied Economics ...
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I am sure this is trivial for short sellers, but what am I missing with this synthetic short. But an example below with actual quotes as of Jul-21st-2026. If I short 100 shares of CVNA at $63.77, I ...
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I have a question. When I backtest several trading strategies, they generate around 50 stock picks per day. However, in reality, after these strategies are deployed, I can only execute trades on about ...
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Background I want to look at this FX rate with the risk-neutral measure. I read that we strip away the real-world historical trend ($\mu=−2.88\%$). In the risk-neutral world, my assumption is that ...
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62 views

Am new to quant world and is trying a naive approach to find at which time the market maker had highest profit trading the entire session to further study orderflow of that time and price . Present ...
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Trying to make a python bot to scrape API data for binary options. Anyone know some good options?
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Sometimes you want to regularize the fitting of an interpolation. A conventional way is to minimise the integral of the square of the second derivative (sometimes called "wiggliness" or &...
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133 views

In "The Dao of Capital" by Mark Spitznagel, at pag. 162, the author mentions at a computer simulation to understand what drives the Wall Street's gambling madness. I would like to it set up. ...
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249 views

I am looking for a reference to replicate in Python a stock market index like the SP500, or an ETF like SPY (free-floating) or RSP (equal weighting) with individual stock trades. I searched online and ...
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40 views

I'm fitting a univariate Hawkes process with exponential kernel to real tick-level trade data (Binance BTCUSDT, ~1.25M trades/day, millisecond timestamps). The intensity is: $$\lambda(t) = \mu + \sum_{...
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I'm studying the latency of liquidity-provider responses in electronic FX (the time between sending a trade request to a venue/LP and receiving the fill or rejection). I'm particularly interested in ...
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I used Claude (Anthropic) to help research the relevant literature and organize the structure of this post. However, the core idea presented below is my own and is not AI-generated content. The Fama-...
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154 views

I am seeking institutional-grade methodology suggestions on validating a low-frequency, high-precision crypto trading strategy. Due to strict structural filtering, the strategy yields only about 20–30 ...
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I'm trying to reproduce CBOE's discontinued daily options summary feed's per-symbol skew field (norm_25d_skew_30, confirmed via the actual flat-file column header) using Thetadata as the historical ...
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I've been working on a crypto arbitrage bot for about a year. It's written in Rust and currently runs on an AWS server in Tokyo. I also tested Singapore, but Tokyo gave me better results. After a lot ...

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