Market impact
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
Dealing with multi-currency inventory risk in FX cash markets
A market-making model that considers correlation, transaction costs and market impact is presented
P2P platforms look to bring banks into the fold
The USP of peer-to-peer FX matching venues is that they cut out the middleman. So why are they now inviting them in?
UK’s plans to ditch share trading rules threaten liquidity
Asset managers say London’s decision to relax EU equity regime will fragment liquidity – with unpredictable consequences
FX primary venues seek reversal of fortunes
EBS and Refinitiv fight to restore market share – but bilateral trading may be too entrenched, dealers say
Fragile liquidity puts markets in ‘danger zone’
Some measures of trading conditions are as poor as in 2008
US Treasury market preps for reporting showdown
Sifma expected to attack transparency plans; prop traders brand objections “crazy”
Market-making by a foreign exchange dealer
An optimal liquidity model for pricing and hedging decisions is presented
Optimal turnover, liquidity and autocorrelation
A novel optimal execution approach via continuous-time stochastic processes is introduced
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
Last look: who is axing hold times, who isn’t – and who won’t say
Liquidity providers rush to review trading policies as GFXC pushes for zero hold times
Quants split on who wins in the alt-data gold rush
Scale helps in handling new data, but alpha may be found in niche strategies
First P2P trade completed on Siege FX
Dark pool aims to match algo orders among its 30 buy-side clients
End ‘senseless’ ban on midpoint trading, asset managers urge
Investors decry European rule that forces them to trade some equities in whole tick sizes
Trading heads call for reform of double volume caps
Asset managers endorse UK move on caps and back changes to EU’s unloved share trading restrictions