Market impact
For US Treasury algos, dealers get with the program
Four banks now offer execution algos on Bloomberg, with plans to go further, faster
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