High-frequency trading (HFT)
Plugging the leaks in skewed pricing
Liquidity recycling has made it trickier for LPs to identify information leakage
Trading robots and financial markets trading solutions: the role of experimental economics
The authors investigate and summarize experimental studies on automated trading strategies in financial markets.
HFT activity increases periodic auctions costs
Eightfold jump in market impact as more trades head to once-benign execution format
The haves and the ‘have bots’: can AI give vol forecasters an edge?
Firms look to machine learning and natural language processing to gain advantage over peers
US Treasury market preps for reporting showdown
Sifma expected to attack transparency plans; prop traders brand objections “crazy”
Podcast: Man Group’s Zohren on forecasting prices with DeepLOB
Deep learning model can project prices around 100 ticks into the future
PBs get new help in war on generosity
Big FX venue operators offer way to reduce overallocation of credit
Banks and HFTs team up to solve exchange outage dilemma
Hopes that ‘gentlemen’s agreement’ can break first-mover disadvantage for liquidity providers
Euronext’s tech migration sprint alarms electronic traders
Co-location users sound warning on plan to chop two years off data centre move from UK to Italy
Quantum trading and the search for the perfect clock
Government push to overhaul satellite technology could improve time-stamping accuracy for trading firms – and for regulators
Quantum kit offers HFTs ‘100-fold’ speed boost
After spotting FX arbitrage opportunities, new tech faces real-world test in Japanese stocks
Option pricing using high-frequency futures prices
The authors examine two potential routes to improve the outcome of option pricing: extracting the variance from futures prices instead of the underlying asset prices, and calculating the variance in different frequencies with intraday data instead of…
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
Science friction: some tire of waiting for quantum’s leap
Use cases for new tech are piling up – from CVA to VAR. But so are the obstacles
Autocallables, Mifexit and the value of HFT
The week on Risk.net, September 19-25, 2020
Don’t blame HFT: plug liquidity gaps for market stability
Dynamic fees could incentivise liquidity when and where it’s most needed, writes quant fund founder Bouchaud
Ronin, felled prop giant, shuts up shop
Firm cancels regulatory licences; traders receiving payouts on equity stakes
Spotting co-movement breakdowns with neural networks
Autoencoders can detect changes in relationship between assets in real time
Detecting changes in asset co-movement using autoencoders
ARR aims to anticipate volatility patterns to provide signals for risk management and trading
Exchange of the year: Eurex
Risk Awards 2020: Success of futurisation project powers bourse to global top spot
Nonparametric tests for jump detection via false discovery rate control: a Monte Carlo study
The main goal of this paper is to perform a comprehensive nonparametric jump detection model comparison and validation. To this end, the authors design an extensive Monte Carlo study to compare and validate these tests.
Citi culls HFTs from FXPB client list
HC Technologies, Jump Trading and Virtu Financial among those told to find a new prime broker
Warrants issuers battle algo predators in Hong Kong
Threat of high-frequency traders forces banks to spend big on tech
A powder keg in forex: the prime broker business
Brokerages look at high-speed algo trading paired with bloated credit limits – and shudder