Trading and counterparty losses hit $88.1 billion for banks subject to global market shock
Liquidity breaks down when latent orders are revealed too slowly, quant firm says
Risk Awards 2019: Quant uses new tech to tackle old problem of optimal execution
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…
Firms turn to machine learning, hybrid products and new markets to boost returns
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.
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…
Relationships between order flow and price “are stable through time and across stocks and sectors”
Nordic banks to use protocol to benefit from longer deferral period
Quants develop method to include both market impact and limit orders in optimal trade execution
Algo traders propose a new optimal execution algorithm with both limit and market orders
JP Morgan, Bloomberg and Portware among those applying AI to long-standing problem
Risk Awards 2017: New-style market-maker defends old-fashioned virtues
The authors of this paper derive an optimal trading strategy that benchmarks the closing price in a mean–variance optimization framework.
When used with living wills, a new method may help banks quantify liquidation costs
This paper derives explicit formulas for the optimal implementation shortfall trading curve with linear and nonlinear market impact.
This paper presents empirical evidence of how different components of order flow affect returns.
Draft report urges regulators to consider impact of FRTB and FTT on markets
Ex-Goldman partner says size, crowding and equity risk are bad for quant funds
A side-effect of tough bank capital rules could be the rise of dark pools for credit trading
NYU quants use Bayesian techniques to sequence trades, considering trading costs and multiple assets
Impact-adjusted valuation and the criticality of leverage