Jeff Yan - High Frequency Crypto Market Making & the Hyperliquid Exchange (S6E2)
Flirting with Models
The Importance of Predicting Mid Frequency Prices
The study looked at your P&L not being auto correlated to itself, but as an input to a predictive model on mid frequency prices of the things you were trading. This was one of our crazy ideas. We didn't have strong priors going into the study. The motivation mainly was, hey, we have more capital than we can deploy the high frequency strategies.
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