Market impact
More than arb: the short signals behind Jane Street’s India troubles
Prop trader ran parallel strategies, source says. That mix may have given rise to manipulation claims
Iosco mimics industry codes to tackle pre-hedging dilemma
Advocates breathe sigh of relief, but Iosco release carries suggested restrictions
BNPP ups efforts to weed out skew sniffers
French bank deploys skew sensitivity algo to help identify predatory behaviour
Quants dive into FX fixing windows debate
Longer fixing windows may benefit clients, but predicting how dealers will respond is tough
Neil Chriss sets out to codify the game theory of trading
The co-author of the benchmark Almgren-Chriss model has updated his thinking on market impact
A comparison of FX fixing methodologies
FX fixing outcomes are mostly driven by length of calculation window
The curious case of the revealing orders
Oxford academics have found evidence pointing to collusion on a European exchange, but market-makers aren’t wholly convinced
Forward thinking: banks adapt P&L markout tools for FX forwards
Dealers modify market impact measurement to get better handle on profitability – and client value
Full amount trading picks up as dealers improve pricing
As much as 70% of volumes at some FX venues are now traded as full amounts rather than in slices
Six CCPs fail to cover concentration risk in Esma stress test
Largest shortfalls modelled in commodity derivatives segment, led by Ice Clear Europe ECC
Slicing algos blamed for market impact on dark venues
Fragmented markets contribute to sixfold jump in possible price moves
The cost of mis-specifying price impact
Expected returns can be significantly affected by the wrong use of impact models
Mission-critical risk frameworks vital for navigating volatility
Financial markets in 2023 have been marked by heightened volatility, and driven by economic uncertainty, geopolitical tension and technological disruption against a backdrop of digitisation. As the repercussions of bank failures and rising defaults…
Quants look to language models to predict market impact
Oxford-Man Institute says LLM-type engine that ‘reads’ order-book messages could help improve execution
JP Morgan pulls plug on deep learning model for FX algos
US bank turns to less complex models that are easier to explain to clients
Exploiting causal biases in market impact models
Model calibration gains efficiency by including biased but adjusted trading data
Getting more for less: better A / B testing via causal regularisation
A causal machine learning algorithm is used to estimate trades’ price impact
We need to talk about pre-hedging
Dealers claim it’s a vital tool for managing risk. Clients say it’s open to abuse. How should regulators treat the problem child of financial markets?
Iosco takes aim at pre-hedging with new probe
Global standard-setter intends to release results of review in third quarter of 2024
HFT activity increases periodic auctions costs
Eightfold jump in market impact as more trades head to once-benign execution format
Podcast: Barzykin and Guéant on FX market-making
Industry quant teams up with academics to build better risk tools for FX markets