Tag: adverse-selection
Concepts
Interview Questions
- Break-even spread on a two-point value
- Adverse selection when the prior is not 50/50
- Where does the price go after two buys in a row?
- Back out the informed fraction from the spread
- How informed flow sets the spread
- How many good trades undo one bad fill?
- The edge you need just to cover fees and adverse selection
- How much toxic flow can your spread survive?
- You captured the spread and still lost money
- Is this quote actually making money?
- The expected P&L of quoting both sides
- Pulling your quotes before you get run over
- A fill just changed what the stock is worth
- The break-even spread when some traders know the answer
- Setting your bid and ask against informed traders
- How much size should you show on your quote?
- Backing out how toxic your flow is
- Long inventory with earnings ten minutes out
- Can the maker rebate make a losing quote profitable?
- I just lifted your offer, re-quote
- Make a market on the number of UN member states
- Reading markouts to tell good flow from toxic
- Using markouts to measure how toxic your flow is
- When the market is thin, lean on your model
- Trading on a private signal against an efficient price
- Aggregating a day of fills into a P&L
- Should you widen your spread before earnings?
- Why does winning every RFQ auction worry you?
- Your bid keeps getting hit and inventory is piling up
- Using markouts to set your spread
- When should you quote inside the competition?
- Quoting when one fill in three runs you over
- Why you keep only part of the spread you quote
- The spread you quote vs the spread you actually keep
- Your bid just got hit, which way do you re-quote?
- After a fast one-sided run, skew or widen?
- You just got lifted, why should you move your quotes?
- Why big orders deserve a wider quote
- Every cost that a spread has to pay for
- Why retail flow is cheap and institutional flow is toxic
- The forgotten quote that everyone else can see
- Where competition stops compressing the spread
- Why do spreads widen right before an earnings release?
- Why do wholesalers pay for retail order flow?
- What does the bid-ask spread compensate a market maker for?
- Why do spreads widen right before an earnings release?
- Build your spread from the ground up
- How much to widen when toxicity doubles
- Why uncertainty about fair value belongs in your spread
- Winner's curse at a charity art auction
- Does a bigger crowd make the winner's curse worse?
- Winner's curse with bell-curve estimation error
- The winner's curse in a jar-of-coins auction
- The two-sided quote that loses on every fill
- You keep getting hit on the bid
- You widened and now get zero fills
- Balanced fills, yet the PnL bleeds
- One counterparty always trades right before the move
- You keep getting lifted, what do you do?
- Why your fills are worse than your quotes