6.1 Ranking Beats Forecasting for Many Trading Problems
For cross-sectional strategies you don't need to predict returns, only to order them. Ranking throws away the fragile magnitude and keeps the part that survives regime shifts.
Author
ali askar
5.21 Cross-Exchange Fair Value for Crypto Perps
On a follower crypto venue, your local mid is stale. Build fair value from the leader: regress the basis against Binance's mid, blend global and local prices, and respect the stablecoin rates.
5.20 Dynamic Symbol Selection for Market Makers
A maker shouldn't quote everything. Track the EWMA markout of every trade in a symbol, quote only the non-toxic names, and scale size by markout. Selection alone can turn a flat system profitable.
5.19 Maker vs Taker Edge: Same Signal, Different Economics
One signal, two businesses. The taker pays the spread and needs a strong edge; the maker earns it and thrives on weak ones across a wider universe at higher frequency. The spread divides them.
5.18 Why Small Alphas Matter More for Makers Than Takers
A half-bp signal is garbage to a taker who pays the spread and money to a maker who collects it. That cost flip turns thousands of weak alphas into the bulk of a maker's PnL.
5.17 TWAP and VWAP Are Execution Models, Not Just Indicators
TWAP and VWAP are not indicators to cross over. They are execution benchmarks and the slicing algorithms built to hit them, the machinery for moving a large order without blowing out the price.
5.16 Fill Probability from Trade Size CDFs
A quote's PnL is easy; its fill probability is the hard part. Build a CDF of taker order sizes and read off the chance the next trade is big enough to clear the queue ahead of you plus your own size.
5.15 Using Trade Flow to Predict Short-Term Price Movement
Trade flow reads liquidity being taken, not posted. Signed and summed, it predicts price because trades are autocorrelated: buys follow buys. And unlike book imbalance, executions can't be spoofed.
5.14 Microprice: Better Than Mid Price?
The plain mid ignores resting sizes. The weighted mid and microprice lean the center toward the thin side, where price is headed, giving a maker a fair value that already respects the book.
5.13 Order Book Imbalance: The First Microstructure Feature to Test
Order book imbalance, bid size minus ask size over their sum, is the strongest simple microstructure feature. Price rolls toward the thin side, and the signal lives in the tails, so fit a spline.
5.12 Spoofing, Sturdy Liquidity, and Book Pressure
Half the big orders in crypto are spoofs that vanish on approach. Lean on one and the price runs through your fill. Filter for sturdy size, and trade the turn a spoof's disappearance creates.
5.11 How to Use Order Book Density for Better Limit Orders
The book is a landscape of walls and gaps. Average density over minutes and place in front of shelves that stay stocked, weighing the edge of sitting behind size against the aggression to reach it.