Algorithmic trading
Quant investing in cluster portfolios
This paper discusses portfolio construction for investing in N given assets, eg, constituents of the Dow Jones Industrial Average (DJIA) or large cap stocks, based on partitioning the investment universe into clusters.
Could private match-making sink public market?
Rise in internal hedging sparks debate over its threat to FX price discovery
CDS trading remains stubbornly human
Buy-siders sceptical of benefits of algo execution for credit derivatives
Utility is success? Row brews over futures post-trade workflows
Industry confronts competing models and hard questions in search of better allocations workflow
All roads lead to Bergamo: Euronext eyes new home for its tech
Market participants fear a “horrible” relocation project and more room for latency arbitrage
First P2P trade completed on Siege FX
Dark pool aims to match algo orders among its 30 buy-side clients
Banks boot up next-gen FX hedging bots
Automated FX hedging can save money and time, proponents argue. But corporates have qualms
Innovation in execution: Credit Suisse
Risk Awards 2021: Swiss bank’s AES platform excelled in US Treasury market during March turmoil
Algo users seek apples-to-apples info
BIS study raised concerns; standards now a work in progress at GFXC
Institutional ETF trading – ETF traders navigate changing conditions
After years of growth and development, exchange-traded funds (ETFs) have cemented their place as a mainstay in investment portfolios and trading strategies. During a year of exceptional volatility and uncertainty, traders were able to take full advantage…
EC looks to GFXC on potential regulation of spot FX
GFXC to meet this week about revising global FX code, which may influence European legislator stance
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