FX futures momentum challenges primary venues’ pricing role
Panellists suggest spot FX primary markets’ importance in models has “diminished”
With banks and buy-side firms becoming more active in the foreign exchange futures market and spot volumes traded on primary venues in decline, some market experts believe the latter’s usefulness when constructing pricing models is dwindling.
While futures volumes have grown in recent years, trading of FX spot on the primary venues of EBS Market and Refinitiv Matching – typically key inputs into pricing models – have fallen away. Across the exchanges, futures average daily volumes (ADV) now
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
More on Markets
Euribor fills panel gaps with Finland and Greece
OP Corporate Bank and NBG take contributors to 21 as administrator switches off “expert judgement”
Non-deliverable CNY swaps defy doubters
Swap Connect’s launch has helped rather than hindered the instrument, say dealers
FX automation plans focus on predictive analytics – panel
Panellists suggest banks could explore AI tools for foreign exchange pricing
The coming AI revolution in QIS
The first machine learning-based equity indexes launched in 2019. They are finally gaining traction with investors
OCC readies new intraday margin requirement
Draft measure would cover all options positions including 0DTEs
New CDS index delayed by regulatory capital concerns
Dealer worries about impact of self-referencing trades derail CDX Financials launch at last minute
Banks, vendors mine AI for corporate FX hedging
New machine learning algos can help corporate clients adjust hedging ratios, but tech’s effectiveness is limited by data quality, experts caution
Calls grow for dealers to unbundle US Treasury clearing
SEC’s Gensler and NY Fed’s Neal turn up pressure on dealers to clear ‘done away’ trades
Most read
- Loss of diversification benefits ‘will drive higher FRTB charges’
- Citi halves swaptions book with US retail funds
- People: Barclays’ macro trade reshuffle, UBS board moves, and more