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Macrocephalopod - Managing a Mid-Frequency Crypto Prop Desk (S6E5)
Description
In this episode I speak with the anonymous twitter user @macrocephalopod.
The arc of our conversation follows the arc of his career: beginning with slow-frequency style premia in a hedge fund to building a prop desk that trades mid-to-high frequency strategies in crypto.
A large part of the conversation can be characterized as comparing and contrasting the roles through the lenses of research, operations, and risk management. For example, in what ways is long/short equity meaningfully different than long/short crypto? Or, how important are topics like market impact, fill ratios, and borrow fails in mid- versus slow frequency strategies?
While crypto is the venue, I believe the wisdom imparted in this episode spans all markets.
Please enjoy my conversation with @macrocephalopod.