Fixed income trading
Joined August 2020
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Anyone out there work in compute finance, securitization of compute assets (e.g. datacenter ABS or REITs), capital markets innovations related to AI buildout, or related fields? Would love to chat with someone about recent trends.
Tried to load nuclearphynance.com for the first time in years, to dig up an old thread on Ren Tech. The site doesn't load. Sad times. I and surely many others here learned a lot from that website, during the glory days of 00s forum culture. It had long since fallen to spam...
An excellent essay: "Poetry and Ambition" by Donald Hall. I know nothing about poetry and don't consider myself well-read but this essay strikes me as a literary complement to Hamming's famous talk on how to do great work, "You And Your Research. poets.org/text/poetry-and-am…
Time for some entry level wineposting - it's my birthday, so we're going to enjoy a birth year bottle
One of the top reasons I became a rates trader is so I wouldn't have to deal with corporate actions, fixed income ETFs are extremely cursed for forcing me to deal with this again
Wife is traveling, toddler soundly asleep, one (1) beer opened, fresh PyCharm window waiting for me. Truly one of life's great experiences
Man this sucks. My entire feed today is mid intellectuals dunking on other mid intellectuals over Fridman's reading list. Who the hell cares, let the man read in peace. Twitter's great weakness is how it rewards this kind of pointless sniping
What's the state of the art in automatic alpha search? Do ppl still use a custom signal language and then search the space of possible programs? Or is it all RL type stuff? I got the sense this fell out of favor as places like WQ and QIM underperformed but that's prob bad hearsay
Any opinions on this book? press.princeton.edu/books/ha… I picked it up and it seemed incredibly arcane, enough that I wondered if anyone actually uses this stuff in the wild
For all the discussion of AI risk, kind of ironic to see the EA crowd getting conned by an unaligned utility-maximizing intelligence
Me, sobbing: you can't just refer to everything good as an "arb"
Other trader: you need to check out the omakase menu, it's a total arb
Great thread, it's been a while since I've heard anyone bring up the 2005 GM downgrade and ensuing mini-crisis in credit correlation products. Love hearing stories about these sorts of mkt events which are dramatic and painful for the participants, but obscure for everyone else
MBS have certainly had a tough time this year but it's a bit of an exaggeration to say they went "no bid" yday as mentioned here and elsewhere... Right after CPI, TBAs cheapened maybe 1/4pt vs USTs and they finished the day a few ticks better than that. Not even a 2 std move
negativecnvx retweeted
Buy a SPAC - most trading at a discount to trust & yielding 4%. Spend most/all of the 4% on puts on BKLN, whether 1% per qtr, or 4% for a 1yr put. Your long is t-bills in a box with a free option on a SPAC acquisition the market may like. Your short is B rated loans near par.
What's a good VPS to use for side project purposes? All I want is to pay a few bucks a month for a low powered Ubuntu box I can SSH into. Not looking to learn some heavyweight cloud computing platform. Linode? DigitalOcean?
After a couple days reading about MEV techniques, I wonder if ppl do this in a statarb/relative value/probabilistic fashion, i.e. accepting some basis risk/market exposure in exchange for a reasonable Sharpe ratio:
In tradfi, true arbs tend to be extremely competitive and not worth pursuing unless you have massive infrastructure advantages. People often overvalue arbitrage P&L streams, relative to P&L streams with similar EV but a little more risk.