NSE chief blames algos for India closing auction turmoil
Ashishkumar Chauhan said traders should retrain algos instead of asking Sebi to change closing auction
Algorithmic traders arbitraging India’s stocks against index derivatives, rather than the design of a new closing auction, are to blame for expiry-day swings in index options prices, according to the head of the National Stock Exchange of India (NSE).
Since August 3, Indian exchanges have set the closing prices of stocks underlying listed derivatives through an auction rather than by averaging
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