Market-making
Should you hedge or should you wait?
New paper introduces quantitative framework for optimal FX hedging
Market-making by a foreign exchange dealer
An optimal liquidity model for pricing and hedging decisions is presented
The stETH slide and what it means for crypto liquidity
Q&A: Automated market-making may have contributed to depegging, says a crypto fund manager
Refinitiv uses rebates and speed to drive Matching liquidity
LSEG arm takes carrot-and-stick approach to market-making on primary venue
Podcast: Lipton on (un)stablecoins and FX market-making
Veteran quant has long warned about fundamental flaws in algorithmic stablecoins
Automated market-making for fiat currencies
A framework to exchange fiat currencies on-chain consistently with off-chain prices is presented
Trumid, SGX Asia bonds JV faces uncertain future
Costly delays to launch of exchange sees backers slash headcount
Banks face conduct risk threat as term SOFR trading grows
Trades linked to forward benchmark at risk of falling foul of strict client hedging remit, lawyers warn
Germany tells EU to PFOF
Proposed ban might need to be dropped to prove practice is harmful
Have corporate bond markets outgrown the plumbing?
Regulators must examine both investor demand and dealer liquidity supply, say Iosco experts
Germany fights for neobrokers’ PFOF rights
Leaked document shows Germany wants to protect ‘anti-competitive’ practice
Optiver aims to gatecrash FX options private party
Dutch non-bank hopes to exploit shift to electronic markets in OTC options, following record $7bn trading day
Flow market-maker of the year: Citadel Securities
Risk Awards 2022: ‘Meme factor’ and sturdy systems helped Ken Griffin’s firm cope with huge volumes – and post record revenues
Citadel Securities ‘expects’ to make US primary dealer bid
Firm has invested to meet Fed’s entry criteria, as it seeks bigger say in ongoing UST market reforms
Derivatives house of the year: JP Morgan
Risk Awards 2022: Big bet on AI is delivering results
Direction of travel on last look becomes clear
Hold time holdouts likely to fall into line in face of increased regulatory scrutiny
B2C2 platform seeks to bring banks into crypto derivatives
By using a Japanese bank as intermediary, market-maker hopes to tap into growing trading demand from dealers
Podcast: Man Group’s Zohren on forecasting prices with DeepLOB
Deep learning model can project prices around 100 ticks into the future
Multi-horizon forecasting for limit order books
A multi-step path is forecast using deep learning and parallel computing
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
How ‘open’ became ‘random’ in Mifir open access CCP rule
EU clearing monopolies endure as share trades are rarely cleared at end-users’ chosen CCP
NatWest’s PB chief on not changing course after Archegos
Marcus Butt believes diversity of clients, both in size and type, is the best way to manage risk
Don’t bank on it: Fed urged to widen access to new repo facility
Central clearing of SRF’s repos and less unease over its use could also buoy glitchy Treasury market
Currenex case may herald focus on e-FX’s ‘Wild West’ days
FX sources say “uncomfortable secrets” could emerge as attention turns to platform relationships