Interesting thought though I’m pretty sure I read in @GZuckerman book that they trade signals “to capacity” and that’s part of the reason they are hard for others to find (the fact that they trade the signal hides the existence of the signal in recent market data)
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Replying to @macrocephalopod @GZuckerman
Wouldn't that make the signal easier to find? (Since it would consistently perform well over a short time horizon?) (As in Signal A => price move B, would be easier to spot because Medallion are ensuring price move B occurs?)
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Or is it that signal A => people will effect price move B but shouldn't and Medallion swallows that price move.
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Data used to set it apart. Others are catching up.
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My intuition is that trading a signal to capacity (i.e. to maximize P&L) would speed it up, i.e. the price impact would be compressed into a shorter time period. To someone without the tools to analyse the signal on fast time-scales it may even look instantaneous (1/2)
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Replying to @macrocephalopod @GZuckerman and
i.e. it would look like the signal is correlated with same-period price change rather than future price change, so they wouldn't even both trying to trade it. Hard to say much more than that I think! (2/2)
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macrocephalopod Retweeted macrocephalopod
I made an attempt to explain it with a simple simulation here --https://twitter.com/macrocephalopod/status/1357377407322370054?s=20 …
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