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3min chapter
LightSpringFox - Crypto Market Making (S5E2)
Flirting with Models
The Hardest Problem in High Frequency Trading Is Conditional on Getting Filled
In a slower factor equity strategy, if you have a high r squared on stock returns, you're like 80 % of the way ther right? You just need to put this in a portfolio, optimizeor long the high return expectations, short the bad return expectations. While in high frequency, model edge can have almost zero bearing on your pianel. So that's like a motivating example of how you could have a very highr squared but your aconditional on getting filled is definite negative with this.
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