Central limit order book (Clob)
BofA quants propose new model for when to hold, when to sell
Closed-form formula helps market-makers optimise exit strategies
LMAX taps real money clients with Cürex deal
Acquisition aims to offer liquidity providers diverse flows from asset managers
All-to-all no panacea for Treasury liquidity
Traders fear push for equity-style market could be detrimental to off-the-run securities
Crypto ECNs aim to offer alternative to Clobs
CrossX and Cypator bring ECN-style trading and settlement to crypto, but rivals claim infrastructure isn’t ready
SGX’s new FX platform sees increased NDF trading from US firms
Sef exemption opens door to increased US buy-side interest
EBS ventures into crypto market with upcoming NDF
The move could be a big step forward for mainstream adoption of crypto NDF trading
CME eyes retail growth with new weekly FX options
Exchange hopes to capture massive demand from the sector
SGX launches new Clob for FX spot and NDFs
CurrencyNode to tap into new matching engines in Singapore, and eventually will look to offer futures-spot spreads
A look at asset liquidation from a different angle
Quants propose a novel approach to assess liquidation cost and stress-testing for hard-to-sell assets
Liquidity stress-testing using optimal portfolio liquidation
A methodology to derive liquidation costs and times in OTC markets is proposed
Can Clobs level the playing field in OTC FX options?
Electronification could be a “game changer” for smaller liquidity providers, say participants
Podcast: Man Group’s Zohren on forecasting prices with DeepLOB
Deep learning model can project prices around 100 ticks into the future
Multi-horizon forecasting for limit order books
A multi-step path is forecast using deep learning and parallel computing
Mifid’s derivatives open access poses ‘dire consequences’
Diminishing support for CCP open access ahead of European Commission review
Tradition to launch first SOFR order book
Streaming swap prices are a critical step to creating term rates for loan markets
Innovation in execution: Credit Suisse
Risk Awards 2021: Swiss bank’s AES platform excelled in US Treasury market during March turmoil
Optiver becomes first non-bank options market-maker on FXall
Dutch e-trading firm joins OTC FX options platform in a market taking electronic baby steps
Term Sonia rivals don the same clothes
IBA mimics Refinitiv by adding Tradeweb quote data; Refinitiv denies IBA has ‘synthetic Libor’ edge
Race to cash in on term Sonia is filled with twists
Pending merger and FCA’s effort to create synthetic Libor rates could sway outcome
Ice swap rate adds safety net with Tradeweb quotes
Inclusion of dealer-to-client prices will boost publication rate in stress periods, IBA claims
Sonia term rate contenders tested by market mayhem
Regulator-proposed quote approach falters as dealers pull swap prices from screens