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Great book! Seems like they had several secret-sauce break throughs. Seems like if you find an edge, trading on it removes it so others cant see it and copy.
by adamgordonbell 3y ago
Great book! Seems like they had several secret-sauce break throughs.
Seems like if you find an edge, trading on it removes it so others cant see it and copy.
Also these strategies don't scale infinitely. Medallion Fund is closed to investors presumably because they can't deploy that much capital towards whatever the strategy with an edge is.
One interesting bit from the book was that the strategies did not revolve around speed. It's not high frequency trading, or at least wasn't, but much slower moves.
- jwestbury 3y agoStrategies also decay. Every quant fund is constantly generating new algorithms, because the value of old algorithms drops over time as others discover them.
- jjoonathan 3y agoStrategies decay if others discover them. RenTech claims to have a strategy that completely removes a certain arbitrage from prices if executed correctly. It would still show up in volume, but you can't extract the critical parameters from anonymized volume.
- thenobsta 3y agoThis would check out as a winning strategy. If you figure how to remove this arbitrage out before anyone else, then you nobody else can replicate your strategies. Since they were early in the quant game, this seems plausible (though other things mentioned here also seem plausible -- insider trading, lots of brilliant people, etc).
- paulpauper 3y agosurprising how after 30 years no one else has figured out how to to this