Algorithmic trading
Better tech brings threat of two-speed trading in fixed income
Smaller asset managers may get left behind as automation allows the big players to prosper
All-to-all no panacea for Treasury liquidity
Traders fear push for equity-style market could be detrimental to off-the-run securities
Electronic FX swaps execution advances on 360t
Sun platform could help banks auto-hedge and develop algo execution for the instruments
Why GTS bought HC Tech’s FX business
Rubenstein and Rosenwald open up on reasons for the deal – plus US lawsuit and culture questions
How patchy liquidity is stymieing systematic credit
…and what investors like AllianceBernstein, Man Numeric and Acadian are doing about it
Flow Traders bullish about threat from big banks
Talking Heads 2023: Non-bank market-maker remains confident of its edge in small-ticket corporate credit
Exploiting causal biases in market impact models
Model calibration gains efficiency by including biased but adjusted trading data
Getting more for less: better A / B testing via causal regularisation
A causal machine learning algorithm is used to estimate trades’ price impact
Plugging the leaks in skewed pricing
Liquidity recycling has made it trickier for LPs to identify information leakage
Why NDF execution algos might still hit the spot
Products have yet to live up to initial hype, but their long-term potential for investors remains significant
Equity traders ticked off by SEC price increment plan
BlackRock and Citadel Securities push back on minimum price increments for OTC equities trades
RBC eyes AI to bolster FX and rates algos
Canadian bank plans to take deep reinforcement learning tech from equities to fixed income and currencies
Benchmarking deep neural networks for low-latency trading and rapid backtesting
Faster, more powerful graphics processing units have the potential to transform algorithmic trading and offer a credible alternative to more expensive devices, explain Nvidia’s technology engineering team
Club rules? How German retail trading venues shut out PTFs
Murky rule books prevent non-bank market-makers from competing for Europe’s growing online customer demand
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?
Treasury traders remain wary about adopting algos
Yet proponents insist US government bond market is ‘ready for disruption’
New buy-side tools seek to break grip of bank FX algos
Proprietary algorithms come of age to provide alternatives for the buy side
ANZ defies ‘white label’ trend with algo expansion
Instead of relying on large LPs, Australian bank aims to offer six new FX algos of its own by February
Can algos collude? Quants are finding out
Oxford-Man Institute is among those asking: could algorithms gang up and squeeze customers?
Deutsche Bank set to expand Pro algo into FX swaps
German bank’s principal resting order algorithm should support swap clients in 2023
Enhanced expected impact cost model under abnormally high volatility
The authors extend their impact cost model beyond the typical factors to address the larger transaction costs brought on by stock market crowding effects in times of market turbulence.
Alternatives to deep neural networks in finance
Two methods to approximate complex functions in an explainable way are presented
Talking Heads 2022: Rates market ruckus
Inaugural interview series looks at how sell-side traders are adapting to a world of surging inflation and rates
A child of inflation: BNPP’s new macro trading unit
Talking Heads 2022: Currency and rates traders join forces at French bank as it plans to bring FX algos to US Treasury bonds