Bid/offer
Deep learning alpha signals from limit order books
An analysis on network architectures applied to limit order book data is presented
Option market-making and vol arbitrage
The agent’s view is factored in to a realised-vs-implied vol model
Crossed signals: row over collusion pits scholars against traders
An Oxford study claims to show evidence of collusion in ETF markets. Some traders give it short shrift
South Korea’s FX reforms working amid political crisis, dealers say
Martial law presented first test for reforms aimed at boosting deliverable KRW market
Quants mine gold for new market-making model
Novel approach to modelling cointegrated assets could be applied to FX and potentially even corporate bond pricing
Dealers weighing response to FXGO’s fee plans
Spread compression means costs will likely have to be passed to clients, say banks
BofA quants propose new model for when to hold, when to sell
Closed-form formula helps market-makers optimise exit strategies
Podcast: Alvaro Cartea on collusion within trading algos
Oxford-Man Institute director worries ML-based trading could have anti-competitive effects
How AI can give banks an edge in bond trading
Machine learning expert Terry Benzschawel explains that bots are available to help dealers manage inventory and model markets
How a machine learning model closed a hidden FX arbitrage gap
MUFG Securities quant uses variational inference to control the mid volatility of options
Obtaining arbitrage-free FX implied volatility by variational inference
An ML-based algorithm that provides implied volatilities from bid-ask prices is proposed