Algorithmic trading
Why central banks aren’t worried about FX algos – for now
Disclosure failings feed into FX code; other issues are worrying, but distant, says SNB’s Maechler
Algos make market thinner, but not less liquid – BIS
Trading robots change market microstructure, central banks conclude; new liquidity metrics may be needed
Banks rent ready-made algos for FX trading
NatWest, XTX Markets and others develop new outsourcing model for tech
Forward momentum: the new world of NDF trading
NDF landscape is changing as trading volumes drive electronification and algo execution – but challenges remain
Reg AT withdrawal could delay a Biden agenda for the CFTC
Democrats and some lawyers say Tarbert’s new principles don’t achieve same goals as Reg AT
How Shell integrated FX algos into its corporate treasury mix
Interview: oil giant puts up to 50% of spot flows through algos, explains FX head Michael Dawson
Optimal dynamic strategies on Gaussian returns
It is hoped that this paper will form a foundational approach to the study of dynamic strategies and how to optimize them. We make efforts to understand their properties without claiming to understand why they work (ie, why there are stable…
To model the real world, quants turn to synthetic data
Future financial models will be built using artificially generated data
How Goldman’s algos adapted to virus vol
Interview: Ralf Donner explains why algo usage is up while markets are down
The joint S&P 500/Vix smile calibration puzzle solved
SPX and Vix derivatives are modelled jointly in an arbitrage-free setting
FX vol revived by Covid-19 – but for how long?
Traders split on whether virus impact, or central bank responses, will prove most powerful
In choppy forex markets, algos buck expectations
Goldman, Nomura and others report increased volumes, although some clients revert to principal quotes
E-trading takes hold for FX swaps – sort of
Bulk of trades are being executed over screen, but bolder changes have stalled
Connecting equity and foreign exchange markets through the WM “Fix”: a trading strategy
In this paper, the authors show the connection between equities and foreign exchange markets via this window, they leverage this connection using an algorithmic trading strategy and rank various statistical techniques used to make predictions for trading…
Smarter trading in a fragmented world
FX Week recently hosted a webinar in partnership with Refinitiv to ask foreign exchange industry leaders to discuss geopolitical challenges, market changes and developments, and evolving technologies, and how they have shaped forex markets in Asia
Buy side still not adopting global forex code – Debelle
Forex committee wants asset managers to embrace standards; shifts focus to algo trading
Innovation in execution: Morgan Stanley
Risk Awards 2020: Odd-lot bot handles almost half of bank’s credit trades
Cultural appropriation: private equity goes quant
Machines are helping venerable shops find under-the-radar performers and factors that drive them
At bounding MarketAxess platform, a new CRO parses risk
Clarity and communication are basics to Oliver Huggins at one of the biggest US bond platforms
How Virtu trained its intelligent algos
Firm has sought to meld traders’ instincts with insights from ‘massive scale’ data
Euribor futures spread spike strangles prop traders
Safe-haven butterfly trades savaged by shock divergence in mid-term contracts
Rival FXPBs scoop up former Citi clients
BNP Paribas, Deutsche Bank among those taking on clients axed by the US bank, plus others worried they’ll be next
Resented elsewhere, Mifid finds love at Esma
Huge cache of data helped Esma spot market abuse and inform policy, head of market data policy says
