Given a dump of all stock market trades over a month, I wonder if it's possible to algorithmically group those trades into cohorts to identify the source of the trades. In other words, Medallion fund presumably manages a large amount of money; therefore, when they move that money into different investments (on a daily basis?) then we should see large trades (or many small trades that add up to a large amount).
I wonder what the daily trade volume of the NYSE is? It seems like if someone is moving around a billion dollars via thousands of trades, it should be possible to detect and categorize those seemingly-disparate trades as "these trades originated from the same owner".
If it's possible to trace the flow of money in that way, then it may be possible to generate a list of probable Medallion trades: search for a cohort that achieved >40% return on billions in volume.
Another way of figuring out Medallion's methods is to examine its interaction with academia. Presumably they search for candidates from fields related to their trade engine. If we can generate a list of research papers which resulted in its authors being hired by Medallion, then those research papers may reveal some of the techniques used by their trade engine.
I used to work for a financial software startup. One of our products was all about analyzing the NYSE TAQ (Trade-And-Quote) data to find such patterns. Another of our products was an execution engine that would take a large block order and automatically slice it up into individual trade executions so that nobody could a.) identify the source of the large order and b.) trade against it. The software would automatically compensate for the amount of liquidity in the market at a given time and execute trades only when there was sufficient order depth to avoid moving the market.
Basically, people have thought of these strategies before. And they've thought of countermeasures to those strategies. And they probably have countermeasures to the countermeasures - for all I know, maybe RennTech's secret is that they've figured out how to statistically identify everyone in the market and trade ahead of them.
The financial industry is a massive arms race which draws some of the smartest people in the world. It's very unlikely that you (or any individual investor) can compete unless you've worked at one of the big hedge funds.
I wonder what the daily trade volume of the NYSE is? It seems like if someone is moving around a billion dollars via thousands of trades, it should be possible to detect and categorize those seemingly-disparate trades as "these trades originated from the same owner".
If it's possible to trace the flow of money in that way, then it may be possible to generate a list of probable Medallion trades: search for a cohort that achieved >40% return on billions in volume.
Another way of figuring out Medallion's methods is to examine its interaction with academia. Presumably they search for candidates from fields related to their trade engine. If we can generate a list of research papers which resulted in its authors being hired by Medallion, then those research papers may reveal some of the techniques used by their trade engine.