Algorithmic trading
People moves: Deutsche Börse appoints UniCredit banker as new CEO
New fixed-income head at Mizuho; trueEX hires CTO; Deutsche fills ETF role; and more
EU shuts door on foreign electronic access providers
US FCMs could be barred from providing direct electronic access as member states bow to Esma
Video interview: Fabio Merlino, Intesa Sanpaolo
Fabio Merlino, head of retail and insurance risk discusses how the wealth management division of Intesa Sanpaolo upgraded its risk analytics capabilities with the algo system used by its proprietary traders
SEC eyes new rules on algo trading in bond markets
Electronification of bond markets may require a regulatory response, Jay Clayton says
Banks apply machine learning to CCAR models
ML models benchmarked against traditional iterations to avoid ‘black box’ perception
UBS’s Athanasopoulos on volatility, Mifid and hedging by machine
Risk30 profile: Athanasopoulos sees opportunities to cut hedging costs
Are failure indexes fair play?
Regulators must clarify stance on trading off big-data forecasts of outages, writes energy consultant
CFTC’s Quintenz calls for ‘reset’ on Reg AT
New commissioner says rules on automated trading should address specific risks
Modal patterns in market data stump Morgan Stanley quants
New research suggests algo traders are changing the market microstructure
Ferc’s Collins dismisses algo trading fears
Energy Risk USA: surveillance chief says HFT is yet to take hold in the power and gas markets
Fast and precautious: order controls for trade execution
Algo traders propose a new optimal execution algorithm with both limit and market orders
Quants turn to machine learning to model market impact
JP Morgan, Bloomberg and Portware among those applying AI to long-standing problem
How will banks suffer large op risk losses in the future?
Eight interlocking trends mean more multi-billion-dollar losses to come
Using FX algos: Towards smarter execution
Sponsored feature: HSBC
Sterling flash crash leads to market price confusion
Banks set their own sterling/US dollar low 4% higher than some traded rates
HFT firm Teza said to be eyeing prop trading retreat
Big US Treasury trader has seen hedge fund add $1.5bn this year
Algorithmic execution: Harnessing technology to manage risk
Sponsored feature: HSBC
End-users debate CFTC automated trading rule
Representatives of energy and agriculture firms clash over Regulation AT
CFTC automated trading proposal worries energy firms
Companies surprised to learn they may need to register as algorithmic traders
Optimal trading trajectories for algorithmic trading
This paper derives explicit formulas for the optimal implementation shortfall trading curve with linear and nonlinear market impact.
Dealer algos strike back in swaps market showdown
Auto-quoting starting to take root as incumbents try to keep pace with Citadel
FSB’s Andresen: liquidity risks were underpriced pre-crisis
Top staffer at FSB addresses liquidity, bank risk data and securities financing risks in a wide-ranging interview
Interest rate derivatives house of the year: Citadel Securities
Swaps market outsider changes the way the game is played
Algo trading feedback loops an urgent worry, Carney warns
Some traders don't understand risks of algos, BoE says