This paper studies the problem of optimal trading using general alpha predictors with linear costs and temporary impact.
"The jury is still out on whether internal models are worth the effort" – HSBC's Jenkins
Outdated systems and lax controls expose pension plans to 'operational failure'
This paper analyzes empirical data for 4000 real-life trading portfolios with holding periods of about 0.7-19 trading days.
Analysis shows some trading desks receive lower capital with stressed market risk charge
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The authors of this paper argue that fundamental determinants of speculative futures trading may have been misinterpreted by some as “excessive” speculation in the energy markets in recent years.
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Limiting response time for market-makers may become outdated method
Firms discuss ways to make better use of data glut
Two banks' commodity VAR stays about the same or increases from 2012–14
Trading portfolios are easily mishandled, as are Europe's economies
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A universal law for optimally dealing with proportional transaction costs
Grasp of market psychology key to success, says Centaurus founder
20 individuals honoured, marking 20 years since magazine's launch
Balancing the price uncertainty and price impact of large orders is an important issue for many market participants. While classical approaches lead to trading algorithms that are invariably price-path insensitive, in this article, Sebastian Jaimungal...
HFT operational monitoring a real issue
Data needs to be understood across the organisation
Recent glitches highlight aggressive culture on Wall Street
Competition among exchanges in Japan is necessary to prevent systems outages such as those in the Osaka Securities Exchange earlier this month