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Category: quant

Trump, Machines And Markets: A Willing Suspension Of Disbelief

December 29, 2018December 29, 2018

“Deal with it.”

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4 Comments on Trump, Machines And Markets: A Willing Suspension Of Disbelief

Nomura’s Charlie McElligott, Now Officially A Star, Delivers Sweeping Defense Of Infamous Tuesday CTA Crash Call

December 6, 2018December 6, 2018

Comin’ through!

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1 Comment on Nomura’s Charlie McElligott, Now Officially A Star, Delivers Sweeping Defense Of Infamous Tuesday CTA Crash Call

Why We’re ‘More Vulnerable Now’: Modern Market Structure Meets Low ‘Ammo’

November 11, 2018

Fragility and a lack of policy breathing room.

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7 Comments on Why We’re ‘More Vulnerable Now’: Modern Market Structure Meets Low ‘Ammo’

One Bank’s Quants Think They’ve Found The Key To Outsmarting ETFs

July 19, 2018July 19, 2018

“We conjecture that market participants do not realize that passive investors are buying or selling securities.”

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3 Comments on One Bank’s Quants Think They’ve Found The Key To Outsmarting ETFs

‘I Can’t Do It’

September 10, 2017

“I can’t do it. I can’t embrace the machines and the vol selling and the ETF parade and the central bankers’ “communication policy”. So I’m NOT happy. I don’t sleep well. I DON’T trust the Fed, much less love them, and I never will.”

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10 Comments on ‘I Can’t Do It’

A Nightmare On Wall Street – Updating The Feedback Doom Loop

June 29, 2017

Remember “Investigating The Market’s ‘Nightmare Scenario’”? Of course you don’t. That post is from May

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2 Comments on A Nightmare On Wall Street – Updating The Feedback Doom Loop

Monthly Letter

  • The Arbitrageur

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Monthly Letters

The Arbitrageur

October 29, 2026October 29, 2026

To Be Happy

September 4, 2026September 4, 2026

Hell Or High Fashion

July 3, 2026July 3, 2026

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