Cutting Edge introduction: The trouble with algorithmic execution

The algorithms used for optimal trade execution can be computationally demanding, meaning investors may not be able to address all relevant factors. A new optimisation scheme overcomes this with a specific set-up of the problem. Nazneen Sherif introduces this month’s technical articles


Market impact, or the effect of large orders on market price, is a problem investors have always faced. If a trade cannot be executed in one go, because of a lack of liquidity at the prevailing market price, the obvious solution is to break it into a series of smaller trades – the risk, of course, being that the market moves against the investor while those trades are being executed. This is known as the trader's dilemma, but thanks to advances in trading technology over the past decade

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The new rules of market risk management

Amid 2020’s Covid-19-related market turmoil – with volatility and value-at-risk (VAR) measures soaring – some of the world’s largest investment banks took advantage of the extraordinary conditions to notch up record trading revenues. In a recent…

ETF strategies to manage market volatility

Money managers and institutional investors are re-evaluating investment strategies in the face of rapidly shifting market conditions. Consequently, selective genres of exchange-traded funds (ETFs) are seeing robust growth in assets. Hong Kong Exchanges…

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