This was a nice introductory post, my question is as a firm and under the assumption you have large capital what is your experience on using market making strategies?
from a few tests I have done last year the arbitrage opportunities are good but I could not afford bigger size so my profits were relatively smalI.
My interest in market making is due to the limited need of “predictions” that I am highly skeptical of and instead focusing on spread inefficiency.
Edit : I also think that having a good strategy is merely 25% of your trade especially if you trade bigger orders then you need to focus extensively on order execution and take into account fees and commissions depending on your side for example when I tried market making I found myself bleeding on fees that I didn’t really account for.
Fun Fact I competed on Numerai when it had just launched and found myself having better results (score) using Linear Models instead more complex ones if I have time I may jump again to try using NEAT methods to evolve linear models and see how they fare.
Can’t comment on market making; that’s not something we do.
I agree that linear models usually perform much better.