Market impact
DFAST market shock accounts for a quarter of big bank losses
Trading and counterparty losses hit $88.1 billion for banks subject to global market shock
Stability heightens flash crash risks – research
Liquidity breaks down when latent orders are revealed too slowly, quant firm says
Buy-side quant of the year: Gordon Ritter
Risk Awards 2019: Quant uses new tech to tackle old problem of optimal execution
Trading costs versus arrival price – An intuitive and comprehensive methodology
Craig Niven, managing director, cash equity execution at Societe Generale Prime Services explores how a five‑month study allowed the organisation to develop a market impact model using historical data, and why it is key for clients in the long term to…
From AI to cheese: funds seek fixes for trend following
Firms turn to machine learning, hybrid products and new markets to boost returns
Equity market impact modeling: an empirical analysis for the Chinese market
This paper discusses and derives the extremum of the expectation of permanent impact and realized impact by constructing several special trading trajectories in the Chinese market.
On the offensive – Seeking a new edge, buy-side invests in portfolio and risk analytics
A fast-moving, headstrong hedge fund – hit by rare losses after a black swan event touched on an overweight country exposure – ponders adding fresh quantitative expertise. Much to traders’ chagrin, the chief investment officer and chief operating officer…
Neural network learns ‘universal model’ for stock-price moves
Relationships between order flow and price “are stable through time and across stocks and sectors”
MTF bilateral trading protocol offers Mifid arbitrage
Nordic banks to use protocol to benefit from longer deferral period
New execution algos show complexity is not to be feared
Quants develop method to include both market impact and limit orders in optimal trade execution
Fast and precautious: order controls for trade execution
Algo traders propose a new optimal execution algorithm with both limit and market orders
Quants turn to machine learning to model market impact
JP Morgan, Bloomberg and Portware among those applying AI to long-standing problem
Currencies flow market-maker of the year: XTX Markets
Risk Awards 2017: New-style market-maker defends old-fashioned virtues
Optimal closing-price strategy: peculiarities and practicalities
The authors of this paper derive an optimal trading strategy that benchmarks the closing price in a mean–variance optimization framework.
Living wills and LVAR could help kill liquidity risk
When used with living wills, a new method may help banks quantify liquidation costs
Optimal trading trajectories for algorithmic trading
This paper derives explicit formulas for the optimal implementation shortfall trading curve with linear and nonlinear market impact.
The impact of visible and dark orders
This paper presents empirical evidence of how different components of order flow affect returns.
GFMA, IIF, Isda plan liquidity lobbying push
Draft report urges regulators to consider impact of FRTB and FTT on markets
Robert Litterman: lessons from the quant quake
Ex-Goldman partner says size, crowding and equity risk are bad for quant funds
Dark pools and platforms vie to fix credit markets
A side-effect of tough bank capital rules could be the rise of dark pools for credit trading
Cutting edge introduction: Hidden models for hidden costs
NYU quants use Bayesian techniques to sequence trades, considering trading costs and multiple assets
Impact-adjusted valuation and the criticality of leverage
Impact-adjusted valuation and the criticality of leverage