Quant Primate @quantprimate

quant research & AI in markets New York, NY Joined June 2023

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Quant Primate @quantprimate

2 weeks ago

This 2000 Formula Tells Wall Street How To Dump $50 Million Of Stock Without Crashing The Price When Archegos blew up in 2021 Goldman and Morgan Stanley dumped their blocks first and got out clean Credit Suisse sold slower and ate a $5.5 billion loss from the same collapse That's the problem this paper solves, fast selling costs you impact and slow selling costs you risk Robert Almgren and Neil Chriss turned that trade-off into one formula with a closed-form answer In their model paying about $280k more in expected cost cuts the risk by about $380k The paper thanks people from Goldman Sachs, Merrill Lynch, ITG and MIT's Andrew Lo Almgren went on to cofound Quantitative Brokers and Chriss launched his own hedge fund Hutchin Hill Now AI trading agents get benchmarked against this same schedule before they touch real money

Quant Primate @quantprimate

2 weeks ago

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Quant Primate @quantprimate

2 weeks ago

Knight Capital traded 1 in 6 shares on the New York Stock Exchange and one forgotten server burned $440 million in 45 minutes which is almost $10 million a minute so Wall Street rival Getco swallowed it in a $1.4 billion deal a technician updated 7 servers, forgot the 8th, and that one woke up retired code called Power Peg it fired off millions of orders and traded 397 million shares in 154 stocks before anyone stopped it one stock rocketed from $3.50 to $14.76 while the bot kept buying the loss was 4 times what Knight earned in all of 2011 and 3 quarters of its value vanished overnight Jefferies led a $400 million rescue and the SEC still fined Knight $12 million Almgren and Chriss's 2000 paper showed how to split a big trade so the market doesn't eat you alive their square root rule says buy 10 times more shares and you pay over 30 times more in price impact 5 minutes on the formula and the kill switch every trading bot needs before it touches real money, bookmark it

Quant Primate @quantprimate

3 weeks ago

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Quant Primate @quantprimate

2 weeks ago

Nick Leeson buried $1.4 billion of losses in secret account 88888 and sank Barings the 233 year old bank of the British royal family so ING bought it for £1 while GPT-5 lost 59% of its money in a live AI trading contest by the end of 1992 the secret account hid £2 million and a year later £23 million by the end of 1994 it was £208 million while London cheered £28 million in fake profits when the Kobe earthquake crashed the Nikkei Leeson kept doubling his bet as prices fell the final hole hit £827 million, twice the capital the bank had for trading he was running the martingale, one of the oldest gambling systems, where you bet bigger after every loss on roulette with 10 losses of runway it wipes you out about 72% of the time over 1000 rounds in the same AI contest Alibaba's Qwen turned $10,000 into $12,200 while GPT-5 ended at $4,126 5 minutes on the one line formula that shows how every doubling strategy ends, save it before you let a bot trade your money

Quant Primate @quantprimate

3 weeks ago

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Quant Primate @quantprimate

2 weeks ago

University of Florida researchers asked ChatGPT if headlines were good or bad for a stock and GPT-4 long short returned around 700% before costs while a London hedge fund that bet on Twitter mood died in one month that London fund raised £25 million commitments and talked to Goldman Sachs on a paper that said Twitter mood predicts the Dow 87.6% of the time the 87.6% came from just 15 trading days, the model was already right 11 times without tweets and calm mood added only 2 more correct days its follow up trading platform went to auction with a £5 million guide price and sold for £120,000 the ChatGPT edge decayed as AI spread through the market, Sharpe fell from 6.54 to 1.22 in under three years and with trading costs it lost money I show the one line regression quants use to grade any AI signal and how to test one honestly, bookmark it before you trust a ChatGPT trading bot

Quant Primate @quantprimate

3 weeks ago

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Quant Primate @quantprimate

2 weeks ago

One sell program from Waddell and Reed dumped $4.1 billion of S&P futures and nearly $1 trillion of US stock value vanished in minutes, Accenture traded for 1 cent, Sotheby’s printed near $100,000 a share, the Dow crashed almost 1,000 points, and a trader in his parents’ London home later admitted to $12.8 million in illegal gains from spoofing that same market The bot followed one rule, sell 9% of the last minute’s volume, so when high frequency traders flipped the same contracts back and forth the volume exploded and the bot sold even faster, and the IMF now warns that over half of algo trading patents carry AI that could make the exact same mistake all at once One line of math, 5 minutes, worth a bookmark before your bot goes live