High-frequency trading (HFT)
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
Giancarlo opens door for prop firms to quote swaps
CFTC will grant no-action relief to non-banks that want to provide liquidity in cleared swaps
Arnott, Harvey: machine learning dangerous when data thin
Experts warn ML should be used “for its correct purpose”
Jump: inside the secretive e-trading giant
Execs at the Chicago prop firm wish the whole world was a Clob, but as bilateral volumes rise, they’ve decided to go with the flow
Unfinished business: US Treasuries reform stalls
Efforts to improve clearing and settlement of US government debt – and oversight of who trades it – still incomplete
To Hull and back: a 20-year hiatus in bank e-trading plans
In the 1990s, banks tried to buy automated trading expertise; now, after a long break, they’re trying to build it
Machine earning: how tech is shaking up bank market-making
As banks get serious about e-trading, humans are being asked to give up their secrets to the machines that could replace them
New DTCC fee structure could lure non-bank traders
US regulator approves proposal targeted at government securities business
Regulators need to adopt AI for monitoring, experts say
Growing bank usage of artificial intelligence means authorities must hasten adoption themselves
‘Black box’ models present challenges – US regulators
US officials say they have some powers to assess AI tools, but resources are a problem
Mifid drives ETF trading on to platforms
Best execution rules push Tradeweb ETF volumes up 32%, but smart order routers may alter trend
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