Market impact
Iosco takes aim at pre-hedging with new probe
Global standard-setter intends to release results of review in third quarter of 2024
HFT activity increases periodic auctions costs
Eightfold jump in market impact as more trades head to once-benign execution format
Podcast: Barzykin and Guéant on FX market-making
Industry quant teams up with academics to build better risk tools for FX markets
Dealing with multi-currency inventory risk in FX cash markets
A market-making model that considers correlation, transaction costs and market impact is presented
P2P platforms look to bring banks into the fold
The USP of peer-to-peer FX matching venues is that they cut out the middleman. So why are they now inviting them in?
UK’s plans to ditch share trading rules threaten liquidity
Asset managers say London’s decision to relax EU equity regime will fragment liquidity – with unpredictable consequences
FX primary venues seek reversal of fortunes
EBS and Refinitiv fight to restore market share – but bilateral trading may be too entrenched, dealers say
Fragile liquidity puts markets in ‘danger zone’
Some measures of trading conditions are as poor as in 2008
US Treasury market preps for reporting showdown
Sifma expected to attack transparency plans; prop traders brand objections “crazy”
Market-making by a foreign exchange dealer
An optimal liquidity model for pricing and hedging decisions is presented
Optimal turnover, liquidity and autocorrelation
A novel optimal execution approach via continuous-time stochastic processes is introduced
A look at asset liquidation from a different angle
Quants propose a novel approach to assess liquidation cost and stress-testing for hard-to-sell assets
Liquidity stress-testing using optimal portfolio liquidation
A methodology to derive liquidation costs and times in OTC markets is proposed
Last look: who is axing hold times, who isn’t – and who won’t say
Liquidity providers rush to review trading policies as GFXC pushes for zero hold times
Quants split on who wins in the alt-data gold rush
Scale helps in handling new data, but alpha may be found in niche strategies
First P2P trade completed on Siege FX
Dark pool aims to match algo orders among its 30 buy-side clients
End ‘senseless’ ban on midpoint trading, asset managers urge
Investors decry European rule that forces them to trade some equities in whole tick sizes
Trading heads call for reform of double volume caps
Asset managers endorse UK move on caps and back changes to EU’s unloved share trading restrictions
Machine learning will create new sales-bots – UBS’s Nuti
Technologists working to automate indications of interest from trading desks
Bilateral streams slash FX trading costs by 80%, dealers claim
Risk Live: At some banks, 70% of spot is now traded via bilateral feeds
Algos make market thinner, but not less liquid – BIS
Trading robots change market microstructure, central banks conclude; new liquidity metrics may be needed
Benchmark reform goes non-linear
Terminating Libor will bring great challenges to the pricing of non-linear rate products
Covid-19 tumult prompts rethink of buy-side risk management
Buy-side risk survey: investment firms making changes to their risk reports, stress tests and concentration limits
Why Asian firms expect a major systems and data overhaul
In this feature, Bing Li, head of Asia‑Pacific, and Steffan Tsilimos, global head of interest rate derivatives products at Bloomberg, explore the implications of the Libor transition on the Asia markets and the broader market impact of the transition