Decision-making failures are being tackled in three very different ways
The theory of optimal trading under proportional transaction costs has been considered from a variety of perspectives. In this paper, Richard Martin shows that all results can be interpreted using a...
This three-part series looks at the various factors that firms across the ecosystem of global FX markets - from the buy-side, the sell-side, and the supporting community of technology vendors and service providers - should consider in order to, not just survive, but to thrive in this dynamic and ever-changing environment.
More Algorithmic trading articles
New set-up allows fast, tractable optimisation of trade execution, without neglecting downside risk
We derive explicit recursive formulas for target close (TC) and implementation shortfall (IS) in the Almgren Chriss framework. We explain how to compute the optimal starting and stopping times for IS and...
India stock exchanges are predicting strong growth in the market for listed derivatives. With algo traders driving volume growth, can current infrastructure cope with the increased requirements?
SEC official warns compliance teams at quant funds lack qualifications and knowledge to effectively monitor trading strategies
High-frequency traders have been viewed with suspicion for some time. Now critics claim exchanges are conspiring with the traders to develop tools that benefit them and disadvantage ordinary investo...
The arrival of central limit order books in the interest rate swap market has opened the door to algorithmic trading – but only a little. Its future depends on how the over-the-counter market evol...
Study disproves commonly held negative perceptions of HFT
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.