Algorithmic trading
Podcast: turbo-charging derivatives pricing
Quants achieve more speed by reducing number of dimensions in price calculations
Algo sniffers make a tough business tougher
FX spot is already a hard game for many LPs and the rise of skew sniping only makes things harder
Societe Generale links FX algo fees to ESG targets
Clients face penalties if they fail to meet sustainability criteria during algo rental period
A principled approach to clean-up costs in algo trading
The opportunity cost associated with the cancelled portion of an order is quantified
Goal-based wealth management with reinforcement learning
A combination of machine learning techniques provides multi-period portfolio optimisation
An approximate solution for options market-making
An algorithm for the market-making of options on different underlyings is proposed
Inside Wells Fargo’s bid to take on big FX players
The third-largest US bank by assets plans to use big corporate flows to lure institutional clients
Quantum trading and the search for the perfect clock
Government push to overhaul satellite technology could improve time-stamping accuracy for trading firms – and for regulators
The new rules of market risk management
Amid 2020’s Covid-19-related market turmoil – with volatility and value-at-risk (VAR) measures soaring – some of the world’s largest investment banks took advantage of the extraordinary conditions to notch up record trading revenues. In a recent Risk.net…
Quant investing in cluster portfolios
This paper discusses portfolio construction for investing in N given assets, eg, constituents of the Dow Jones Industrial Average (DJIA) or large cap stocks, based on partitioning the investment universe into clusters.
Could private match-making sink public market?
Rise in internal hedging sparks debate over its threat to FX price discovery
CDS trading remains stubbornly human
Buy-siders sceptical of benefits of algo execution for credit derivatives
Utility is success? Row brews over futures post-trade workflows
Industry confronts competing models and hard questions in search of better allocations workflow
All roads lead to Bergamo: Euronext eyes new home for its tech
Market participants fear a “horrible” relocation project and more room for latency arbitrage
First P2P trade completed on Siege FX
Dark pool aims to match algo orders among its 30 buy-side clients
Banks boot up next-gen FX hedging bots
Automated FX hedging can save money and time, proponents argue. But corporates have qualms
Innovation in execution: Credit Suisse
Risk Awards 2021: Swiss bank’s AES platform excelled in US Treasury market during March turmoil
Algo users seek apples-to-apples info
BIS study raised concerns; standards now a work in progress at GFXC
Institutional ETF trading – ETF traders navigate changing conditions
After years of growth and development, exchange-traded funds (ETFs) have cemented their place as a mainstay in investment portfolios and trading strategies. During a year of exceptional volatility and uncertainty, traders were able to take full advantage…
EC looks to GFXC on potential regulation of spot FX
GFXC to meet this week about revising global FX code, which may influence European legislator stance
Why central banks aren’t worried about FX algos – for now
Disclosure failings feed into FX code; other issues are worrying, but distant, says SNB’s Maechler
Algos make market thinner, but not less liquid – BIS
Trading robots change market microstructure, central banks conclude; new liquidity metrics may be needed
Banks rent ready-made algos for FX trading
NatWest, XTX Markets and others develop new outsourcing model for tech
Forward momentum: the new world of NDF trading
NDF landscape is changing as trading volumes drive electronification and algo execution – but challenges remain