Vance Harwood’s Passing, AI in Finance, and Dynamic Thresholds
Trending
Quant Volatility Trading Community Mourns Vance Harwood
Vance Harwood, founder of Six Figure Investing, passed away suddenly in September 2026. His Quantocracy column focused on "alternative investment strategies beyond traditional Buy-and-Hold," gaining significant recognition in the options derivatives and quantitative trading circles. He was particularly renowned for his in-depth analysis of VIX volatility products and his long-term tracking of volatility trading, serving as a vital bridge between retail and professional investors1
Cline Expands Free Model Offerings
In an email to users, Renee@cline announced that Cline has added Gemini-3.8-flash, Mimo-2.6-pro, and space bunny to its free model lineup. To date, Cline’s free plan offers several cutting-edge models, including deepseek-v4.1-free and muse-spark-1.3. Real-world tests indicate that free accounts currently only provide mimo-2.6-flash. Pro models may be included free with subscription plans.
Claude Code No Longer Abruptly Halts Code After 5-Hour Limit
Anthropic developer account @ClaudeDevs announced this adjustment the previous day. Previously, developers faced abrupt interruptions to code modification processes upon exhausting their quota. Under the new policy, reaching the usage cap no longer triggers an abrupt cutoff; generation continues. Specific buffering methods, scope, and timelines were not detailed in the official announcement. 2
CFTC Launches Frontier Forum Series, First Focusing on AI and Agent-Based Finance
The CFTC’s (Commodity Futures Trading Commission) inaugural forum is scheduled for October 28, 2026. It will bring together builders and leaders from public and private sectors to discuss responsible innovation while protecting market participants and maintaining the integrity and resilience of U.S. financial markets. Key discussion topics include: challenges in entity registration and identity definition, determining algorithmic autonomy versus market manipulation intent, and supply chain responsibility for outsourced and foundation large language models. A primary concern is entity registration and identity definition: when a fintech firm delivers a "trading agent with full discretionary authority" to a client, does the software constitute a passive computational tool or effectively provide unregulated "investment advice"? 3
Quant Research
LightGBM Dynamic Thresholds Boost Crypto Futures Sharpe from 0.59 to 1.34
Can fixed thresholds for directional trading logic remain effective in cryptocurrency markets? A study using 50 crypto futures from January 2022 to January 2024 employed a LightGBM classifier to select the next-day threshold daily from candidates 0.01, 0.02, and 0.04, comparing it against the best static version of the same trading logic. The dynamic threshold strategy achieved an out-of-sample Sharpe ratio of 1.34, compared to 0.59 for the static version. The Ledoit-Wolf bootstrap p-value for the difference was 0.008, indicating that the gain from switching thresholds based on market state is statistically significant. The same study also examined the recovery effect of overlaying model screening signals on 420 losing rules. 4
Micro-Cap Insider Buys: Deepest Drawdown Group Shows 4.13% First-Day Abnormal Return
Do abnormal returns following insider buy announcements systematically vary with the depth of the stock’s drawdown from its recent high? The study examined buy filings (Form 4, code P) from the SEC, covering U.S. listed companies with estimated market capitalizations between $30 million and $500 million on the filing date from 2018 to 2024, totaling 13,534 records from 1,192 issuers. Stocks were grouped into five tiers based on the distance of their price from the high, with two-way clustered standard errors used for estimation. Results showed a monotonic gradient: the first-day abnormal return for the group closest to the high was only 0.86%, while the group furthest away was significantly higher, with a two-way clustered t-value of 9.77 for the difference between groups. Random non-event controls indicated this gradient is not a general market drift but concentrated in insider buy signals for stocks with deep drawdowns. 5
Industry News
CMU’s Eighth Market-Making Game Begins, Over 200 Students Compete for $3,500 in Prizes
The event, held in early February at the Rangos Ballroom, was co-hosted by the MSCF program and the Quantitative Finance Club, with sponsorship from Jane Street, Jump Trading, Trex Quant, and GTS. Participants formed teams of six, trading contracts linked to probability puzzles and real-world data trends. The competition tested the ability to judge fair value and determine bet size within seconds, rather than simply solving for the correct answer. Sponsors used the event to closely observe students with both technical skills and trader mindsets, building a pipeline for quantitative recruitment. 6
Squarepoint Foundation Donates Another $100,000 to Support CMU’s Quantitative Finance Master’s Program
This is the foundation’s third donation since partnering with the program in 2023. It will fund five students from socioeconomically disadvantaged backgrounds for the 2026–2027 academic year, bringing the total number of supported MSCF students to 14. Founded in 2021, the foundation focuses on education, research, and humanitarian projects. Such funding helps lower economic barriers in quantitative finance and broadens the talent pool. 7
Quant Careers
Financial MBA Resigns, Faces Rejections for Valuation Roles After Three Months of Job Hunting
The job seeker previously worked in financial operations and left without a new offer. Currently unable to afford CFA exam fees, they are upskilling through self-driven projects. They noted that valuation roles are highly specialized, with most institutions requiring CFA or CA credentials, making it difficult for non-certified candidates to pass initial screenings. They seek to understand the specific skills needed when bypassing the certification route. 8
In response to their dilemma, practitioners advised the original poster to bypass conventional HR screening channels and directly contact Managing Directors (MDs) at boutique valuation firms on LinkedIn, proactively offering to perform free analysis projects in exchange for opportunities. Additionally, job seekers should focus on niche areas that prioritize practical delivery over credentials, such as quarterly fair value assessments for private equity and credit funds, purchase price allocation (PPA) post-merger, and impairment testing. Furthermore, the job seeker should leverage their data reconciliation advantages from financial operations, building comparable company and DCF models for familiar small-cap listed companies, and writing one-page valuation discrepancy analyses as attachments to self-promote, using solid deliverables to replace traditional resumes in impressing employers.
Jane Street Puzzle: Jane Street Puzzles Monthly Challenge
Jane Street’s monthly puzzle 10 is due soon! This is a guessing game requiring participants to identify a brand name you may never have heard of, based on 23 hints provided in the image.
This puzzle is similar to the BrowseComp dataset, which OpenAI uses to test AI agents’ web retrieval capabilities. Questions typically do not ask directly "Who is this person?" but instead provide a series of scattered, indirect clues requiring cross-verification via internet searches, forcing the model to ultimately identify a specific person, place, institution, or event.
Jane Street’s release of this puzzle likely aims to test participants’ ability to leverage AI to solve problems.
The submission window for this puzzle closes before September 30. If you still have Astra credits this month, give it a try. Achieving a ranking on the Jane Street leaderboard can also be added to your resume.
Word count: 1561 / 2400