3 ms·
When HFT firm Virtu went public they announced they had one loosing day in 6 years. A physics professor explained how this was possible by using the law of lar
by chollida1 10y ago
When HFT firm Virtu went public they announced they had one loosing day in 6 years.
A physics professor explained how this was possible by using the law of large numbers and some basic assumptions.
- arcanus 10y agoI was offered a job at virtu, and met people who discussed this in the interview. They had backtested the model but apparently it had a slight bug. After fixing it they claimed to have made much more than the loses.