Arbing Intraday Cross-Asset Correlations

Tyler Durden's picture

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VK's picture

Arbing bitchez!

cindycheng's picture

I really loved reading your blog. It was very well authored and easy to understand. Unlike additional blogs I have read which are really not that good .
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Jason T's picture

this so reminds me of LTCM

am turning property into a farm next spring

ZackLo's picture

might want to do that now.

Jason T's picture

I did grow tomatoes and now have year supply of sauce in cupboard.


i'm loading up on berry bushes, fruit trees and lots of veggies next year.  Getting chickens too.  


am in ag zone so should't get that $5k fine like that guy in GA.

NOTW777's picture

but that means there are trading opps - particularly pre-market or near open.

it may be rotten but some opps are offered

Tyler Durden's picture

Actually, no, the best trading opps according to this are when volume is lower, when correlations are lowest as well, around 1pm. Intuitively that also makes the most sense, as the market has the least participation around that time.

NOTW777's picture

for example; last 3 days or so POT opens up down $2 (or so) and then turns green during the day; same pattern with other AG stocks.

if you focus on what the market is chasing, the uber lite vol selloffs are opps

NOTW777's picture

same thing with south american plays like SAN or EPU


for awhile it was working with DE but today it BO on the putin push

VeloSpade's picture

"...we believe the only way to make money is to beat the robots at their own game, which means to exploit the weaknesses in the market which are created precisely due to the monopolistic dominance of computerized trading."

One such way would be to arb extreme divergence in paired ETF's.  The difference would be the capturing of the decay?  But these babies are inverseley correlated at -1 so determining the divergence would need to use range or standard deviation os some such other metric.  Just an idea I've been playing with in my coding.

carbonmutant's picture

60% of the day's average trading activity occurs in the first hour of trading...

NotApplicable's picture

"This article will likely prompt a variety of adjustments to trading signals and quant factors, once the Ph.D's in the market realize that the abovementioned patterns allow a "reversion to the mean" strategy to be implemented, and which can be accelerated by yet more feedback loops: both things that the HFTs substructure of the market does better than anything, even if neither has any reflection in reality. "

HFT programmers... On your mark... set... *poof*

All your arbs R belong to us.

goldmiddelfinger's picture

How about this idea: trade stocks not linked to ETFs and for which option trading in nonexistent.

wiskeyrunner's picture

It's about time for the end of day PUMP JOB!



zaknick's picture

I sent this to Durden last night but apparently he ignores me.


Germany asks US to give up its IMF veto


Lagarde says French G20 to discuss wider use of SDR


THIS is the endgame.

Id fight Gandhi's picture

China has been pressing for sdr for a bit now, will that be their trump card to quiet down timmah and his revaluation bitching.

reading's picture

I do have to say that every OE Friday gets more surreal by the month...The market can't even muster a facade of normalcy in it's behavior.

TWORIVER's picture

Nasty continuation pattern on 30 min SPY (112.7) chart, ends bad sub 111.5.

Implicit simplicit's picture

Must not be as many shorts left to squeeze below -$SPX1130, but we still have 40 minutes.

ziggy59's picture
from crap, nothing but crap... Four Ways Retail Investors Can Fight Back Against HFT

IrrationalMan's picture

make sure to recalibrate the model each day.  Only 20 days of trading data??

Herry12's picture

I found lots of interesting information here. I love zerohedge.
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cindycheng's picture

I never read whole articles but the way you wrote this information is simply amazing and this kept my interest in reading and I enjoyed it. I read your post and I found it amazing. Your thought process is wonderful.

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