For longtime readers of patio11 or even just his new blog, I think most of this will not be new, except for the discussion of Stockfighter: patio11 discusses how he generated realistic stock price histories for the simulated stock market (he copied real histories—I would’ve done something similar, but phrased it as a ‘block bootstrap’ or something), and also the final level of Stockfighter, which turns out to be ‘detect the inside trader’ and quizzes Ricki on how to do it both with and without the intended approach of ‘hacking’ the simulated stock market to get IDs for traders’ trades & find the trader with excessive returns.
(If you are interested in Jane-Street-esque discussions of trading & adverse selection and this is too entry-level, possibly LeBron’s 2019 The Laws of Trading might be a better use of reading time.)
There’s also Byrne Hobart’s article Understanding Jane Street (5.5k words), although pitched at an even lower level maybe. He recommends The Laws of Trading as further reading, alongside:
For longtime readers of patio11 or even just his new blog, I think most of this will not be new, except for the discussion of Stockfighter: patio11 discusses how he generated realistic stock price histories for the simulated stock market (he copied real histories—I would’ve done something similar, but phrased it as a ‘block bootstrap’ or something), and also the final level of Stockfighter, which turns out to be ‘detect the inside trader’ and quizzes Ricki on how to do it both with and without the intended approach of ‘hacking’ the simulated stock market to get IDs for traders’ trades & find the trader with excessive returns.
(If you are interested in Jane-Street-esque discussions of trading & adverse selection and this is too entry-level, possibly LeBron’s 2019 The Laws of Trading might be a better use of reading time.)
There’s also Byrne Hobart’s article Understanding Jane Street (5.5k words), although pitched at an even lower level maybe. He recommends The Laws of Trading as further reading, alongside: