Lex Luthor retweetledi
ive been slacking on my open source contributions for the past year or so, perhaps this will help me catch up: github.com/beatzxbt/stink…
hope you find it useful!
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Lex Luthor
4.3K posts
Lex Luthor
@L3X_luthor
superhero is useless without supervillain...
Katılım Mayıs 2023
1.5K Takip Edilen840 Takipçiler
Lex Luthor retweetledi
An ex-quant trader's framework for figuring out if your job is safe:
Agustin Lebron (@AgustinLebron3), ex-Jane Street, author of The Laws of Trading:
"Where does the value come from? Whether you're at a startup or a big company — think very, very hard about this."
"Most SaaS companies in the last 10 years — the value doesn't come from the technology at all. It's a complete commodity."
"The value is in biz dev. The person who can pick up the phone, find exactly the right contact at the client, set up the meeting, keep things sticky."
"If you're writing code at an enterprise SaaS company, you're probably pretty replaceable. You've been replaceable by a team in Ukraine for 10, 15 years."
"There's nothing new here. It just maybe hasn't happened yet."
"Figure out where the value is. Figure out how to increase that. Maybe it's software development. Maybe it's something else entirely."
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Lex Luthor retweetledi
Good advice. All real edges decay over time. So your rate of improving the strategy determines your outcome:
improvement > edge decay => pnl growth, understanding compounds
improvement = edge decay => stasis
improvement < edge decay => eventual death
Note that if you stop improving the strategy you aren’t in stasis, you are in the start of your eventual death arc.
zbangas@boat460
having been on multiple desks I cannot emphases the importance of continuing to improve the trade. having personally been on desks trading very similar variants of strategies, its always interesting to see how widely pnl varies from the firms have put in to bettering the trades
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Lex Luthor retweetledi
💯
The amount of market-specific detail that perp market designers don't even know they don't know is shocking.
And then they wonder why it failed, and complain about cartels and old boys networks instead of realizing their product was DOA because of fatal flaws.
cephalopod@macrocephalopod
I see comments like this re: the design of oil perpetuals on TradeXYZ/HL a lot -- why do the oil perps use futures as the underlying, rather than spot? The question shows a fundamental misunderstanding by crypto-native people, who I guess understandably do not spend much time thinking about the mechanics of physical commodity markets!
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Lex Luthor retweetledi
i know everyone wants to just compare one number to another...
but instead of having perps track the front month contract and have funding spikes during rolls...
why not just have perps target a synthetic future with a constant time to expiration?
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Lex Luthor retweetledi
I see comments like this re: the design of oil perpetuals on TradeXYZ/HL a lot -- why do the oil perps use futures as the underlying, rather than spot?
The question shows a fundamental misunderstanding by crypto-native people, who I guess understandably do not spend much time thinking about the mechanics of physical commodity markets!
Skrt@xbtskrt
@0xAlcibiades @tradexyz It’s quite odd to design perps with futures as the underlying. The whole point of perps was to remove the need for rolling over futures. They probably have good reasons for why they didn’t use spot prices, but still very odd.
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Lex Luthor retweetledi
Most students chasing quant jobs are optimizing for the wrong thing:
Agustin Lebron (@AgustinLebron3), ex-Jane Street trader and author of The Laws of Trading, explains:
"The number of seats at good shops doing interesting work is actually relatively small. Probably only a couple thousand new hires per year worldwide."
"If you ask students why they want this, they'll say the math and stats and ML are interesting. But there are plenty of places to apply those skillsets."
"If you dig deep, the real answer is it's a high status thing to do. At MIT or Harvard, the high status internship is Jane Street or HRT."
"A lot of people say 'I've wanted to be a trader my whole life.' The true answer is probably 'I wanted to be rich my whole life, and this is my best plan to get there.'"
"The vision from the outside of what the work is — is very, very different from what the actual work is."
"Some people find it super engaging. For others it's like, this really isn't my life's work. But I'm kind of stuck here."
"Quant trading is just a tiny sliver of what's interesting."
Ethan Kho@ethanrkho
EDGE REVEALED: How an Ex-Jane Street Trader Finds Edge in Markets & Life Agustin Lebron @AgustinLebron3 (former Jane Street trader, author of The Laws of Trading, now working at an AI startup applying reinforcement learning to market execution) breaks down what edge really means — and how to find yours in trading, careers & life. “Edge is something that either you know or you can do that the marginal participant in that market either doesn’t or can’t.” We cover: - What edge actually means & how Jane Street builds organizational edge (their worst skill is still "pretty decent") - Why you can never truly know if you have edge — the statistical vs intuitive approaches - The consolidation of quant trading: from dozens of options firms to a handful of giants - The gamblification of everything — retail trading, sports betting & prediction markets fueling quant profits - What it was like having Sam Bankman-Fried (@SBF_FTX) as a Jane Street intern: "Day one, I'm going to ask all the questions" - How to apply edge thinking to your own career: find what you're differentially good at - Raising teenagers in the AI age: why the traditional path still works, but other paths are opening up 00:00 Introduction 00:44 What is edge in financial markets 01:43 Jane Street and organizational structures for quant trading 03:46 Identifying and validating edge in trading 06:22 Navigating extreme market events and volatility 09:37 Future of quant trading and consolidation 12:15 Why quant firm profits have increased 14:42 The gamblization of everything 15:55 Who should pursue a career in quant trading 18:19 Applying the concept of edge to career and life decisions 20:56 Advice for interns to excel in quant trading 23:44 Predicting long-term success in trading interns 25:08 Sam Bankman-Fried as an intern and FTX reflections 28:15 Reasons people leave Jane Street and what they do next 31:19 Advice for young people in a changing world 36:09 Navigating job insecurity in tech-driven roles 38:55 Where to live if you want to be successful 40:28 Raising kids for a rapidly changing future 42:55 Questions young people should ask themselves 44:45 Outro and book recommendation
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Lex Luthor retweetledi
buying vix futures when they get dirty cheap
i've mentioned a few times on here that vix futures tend to get dead cheap when unexpected bad news hits.
i wrote about how you can trade this in an incredibly simple systematic way.
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Lex Luthor retweetledi
follow up to this.
how to use betting market odds to tell you what you're missing in your betting model.
the market knows a lot of stuff that you don't know.
by comparing your predictions to those of the markets, you can identify those things, and improve your models.
Robot James 🤖🏖@therobotjames
getting edge in sports betting markets with novel information or better models . . . i've been writing things about sports betting. this is about getting edge by predicting outcomes better than the market. it's really really fkin hard - but i'm gonna talk about it anyway
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Lex Luthor retweetledi
WTI is not trading at a premium to Brent. It's an artifact of futures roll dates. The front month Brent contract rolls earlier than front month WTI, so Brent front month is currently for *June* delivery whereas WTI front month is for *May* delivery.
The rolls are about three weeks out of sync - around 15th Apr the pattern will look "normal" again as WTI rolls to June, and then on 23rd Apr it will look "wrong" again as Brent rolls to July.
This creates a sawtooth offset to the true Brent/WTI premium. You can see it clearly in this chart of prices from 2005-06 where the blue line is the difference of the active contract, and the red line is corrected by interpolating to a constant 30 calendar day maturity.
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Lex Luthor retweetledi
Lex Luthor retweetledi
“There’s no medal for being quantitative. You either make money or you don’t.”
— @SinclairEuan
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Lex Luthor retweetledi
getting edge in sports betting markets with novel information or better models
. . .
i've been writing things about sports betting.
this is about getting edge by predicting outcomes better than the market.
it's really really fkin hard - but i'm gonna talk about it anyway
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Lex Luthor retweetledi
sports betting for profit
platforms like polymarket let you trade in and out of sports bets like financial markets.
trying this is probably not a good use of your time.
you should probably go outside.
but i wouldn't listen to me and you won't either.
so i wrote a thing
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Lex Luthor retweetledi
so, been a while...
back to making bad markets slightly less bad, and man i've missed it. this time its less stinky on the coins, more stinky on the exchange choice.
the system is new, been working on it since ~mid feb and got it stable right before the start of this month.
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Lex Luthor retweetledi
nearly everything that is a good repeatable trading idea looks like:
"under <some circumstances> this thing is likely to be too cheap/rich because <some people> are being forced or greedy or stupid... so the thing is more likely to go up/down in the future"
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Lex Luthor retweetledi
shorting dogshyt perp listings on binance
. . .
what happens immediately after a new perp is listed on binance?
well, on average they go very down.
future of finance innit.
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Lex Luthor retweetledi
trading through extreme chaos.
much of my insufferable schtick on here is...
“you can get away with doing very simple things if you pick the right place to do them”
you can also get away with doing very simple things if you pick the right time to do them.
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Lex Luthor retweetledi
@AgustinLebron3 recently spoke about the hypothesis that making markets on highly illiquid crypto instruments is not profitable. Although it's hard to calculate it directly, I tried to make a small proxy for that + a brief intro to other sources that spoke about this problem before.
@macrocephalopod @yenwod_
ltrd@ltrd_
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Lex Luthor retweetledi
I would also argue that markets are incredibly complex, with diverse sources of information. It's all of homo economicus in one place.
No org can be good at understanding it all. You have to specialize in understanding some small piece of it.
That's why many can thrive.
sysls@systematicls
Common misconception. It assumes that every institution is trading against each other. IF that were the case, then yes, there will be only one big dawg and everyone will lose. In extremely PvP regimes where it's mostly institutions vs institutions, this is indeed the case. However, in most markets, the institutions are not making money off of each other. They are making money off of (uninformed) retail. This is why even institutions of "various complexities" can survive in the market. For example, as a new entrant to FX. I know I am certainly not as competitive as XTX, which has considerable resources spent on dominating FX. However, that does not imply I cannot make money from FX; as the average participant in FX is still leaps and bounds inferior to my investment process. This means I will make more money from these fishes than I will lose to XTX. If you've played Poker, it's akin to folding whenever the biggest shark bets and trying to be in all pots where the fish is playing but the shark has folded. TLDR: Money is always made from weaker players that have no edge. And that's why (uninformed) retail participation is so important for institutions. TLDR2: Avoid the sharps, and trade against the squares, everywhere.
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