📊 Crypto Stat Arb: Quantifying & Combining Alphas

10 Mar 2024 · 13 mins I look at some alphas for a crypto stat arb strategy. We use momentum, carry and breakout - simple price action features. I evaluate how 'good' they are: looking their mean returns across deciles, the info coefficients and how they decay over time. Then I combine these with 'hardcoded' weights to see the hypothetical returns of trading these signals frictionlessly.

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Paper Replication: High Frequency Trading in a Limit Order Book

22 Jan 2024 · 13 mins Based off Avellaneda and Stoikov's 2006 paper, we simulate a market-making strategy that sets quotes off an indifference price: an offset to the midprice based on inventory. I calibrate the model in Python to sample L2 order book data. I learn basic limit order book mechanics and the problems of simulating a HFT strat. 📚

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