liquidity fragmentation aficionado
Joined October 2010
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stef retweeted
Saturday
November 14th
One day before Solana Breakpoint
You saw what @joinfrontier did in Seoul
We're taking it to the next level in London
See you there
stef retweeted
I like blockchain tech quite a bit because it extends open source to open source+state, a genuine/exciting innovation in computing paradigms. I'm just sad and struggle to get over it coming packaged with so much braindead bs (get rich quick pumps/dumps/scams/spams/memes etc.). Ew
stef retweeted
Closing the Software Loop
I've become convinced that it is possible to build a system that improves our core product with a shockingly high level of automation
Wrote down some thoughts on how I expect this to work and the implications
benedict.dev/closing-the-sof…
stef retweeted
How do MMs evolve into alpha-driven behemoths? It's fairly natural:
>C tier: market making without an alpha signal
How can I avoid getting picked off? Find alpha, make a model!
>B tier: market making, avoiding bad trades based on an alpha signal.
What if my alpha signal gets so good that I just want to position myself based on it?
>A tier: trading on an alpha signal. Some of these trades might be liquidity-adding, but this isn't the main intention any more.
>S tier: my alpha signal is too good. I have to avoid monetizing it too fast and leaking my intentions into the market before I can size up too much
(Citadel is here).
stef retweeted
The insanely f’ing hard problem with bad mev is that even if it’s a tiny fraction of total volume, like 10 basis points, at scale it’s an astronomical amount of value for a small minority to capture. That means the solutions space either has to eradicate it or democratize it.
stef retweeted
"Of course you think second price auctions are incentive compatible, you're a first year mechanism designer, just got laid off at Citadel and participated in an NFT auction, Yuga Labs most likely. You'll talk about Myerson's lemma and DSIC auctions until you read Tim Roughgarden,
stef retweeted
Solana is a necessary experiment that explores the max-composability semi-centralization point of the tradeoff spectrum. It is good that one project turbo-focuses on this as a counterweight to modularity/rollup-focused smart contract platforms.
That said, I'm interested to see if SVM-based rollups like @EclipseFND can actually improve Solana by enabling light nodes to verify @RiscZero ZK proofs of the execution and sample the DA-layer via @CelestiaOrg. That should preserve the internal composability while offering a more secure way for regular users to verify the computational integrity of the system.
stef retweeted
I once sat in a room and watched a HFT take an algorithm calculating 10K maximisation problems from >10 ms to <10 μs. In <48 hours my laptop ran the bot faster than our $2000/month server. I had never witnessed this kind of magic before, I knew I wouldn't sleep until I learned it
stef retweeted
In my experience, a major reason ML tends not to work well out of the box in quant trading is because the signal-to-noise ratio is so low. A great alpha might predict 1% of the variance in short-term price moves. Many ML techniques break down with that much unattributable noise
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stef retweeted
In order to become wealthy trading crypto, you have to be extremely dumb. If you're not extremely dumb, you must learn how to think like an extremely dumb person thinks. If you don't fit into either of those categories you should simply stay away from trading and just buy & hold.
stef retweeted
I’m coming around to the view that one of the most dangerous contributions quants have introduced is the ability to market a backtest.
“What’s the backtest look like?” is a question I get all too frequently, and the answer creates false confidence.
stef retweeted
In the last 6 months, AMMs like Uniswap and Curve rose up to overtake order book DEXes. Thanks to them, DeFi trading has grown more than 10x.
But why? What explains the rise of AMMs? Are order books a thing of the past?
(Spoiler: I don't think so.)
medium.com/dragonfly-researc…
stef retweeted
The best way to know if someone is truly an expert in their field is that they will answer every simple question you ask with “it depends” and then go on to list 10 different factors that didn’t ever occur to you.
stef retweeted
If you think no innovation is happening in Bitcoin, it is time to pay attention. Developers and researchers are constantly pushing the boundary of what's possible in cryptocurrency.
medium.com/@LucasNuzzi/a-loo…
stef retweeted
The best thing poker teaches you is to not be results-oriented, because it's crucial for good decision making in all aspects of life.
The worst thing poker teaches you is to not be results-oriented, because everyone else in the world is and it's very annoying.
stef retweeted
I find it very difficult to make the case that there *won't* be rising demand for a supra-sovereign digital asset with absolute scarcity over the next 5-10 yrs.
Even harder to make the case once you layer on the additional capabilities (& demand) unlocked by programmable money
stef retweeted
1/10 The reason "Blockchain" is so susceptible to cargo cult mentality is that the fundamental features that make it what it is are, in a sense, invisible, and inseparable from how the technology works.
