Market-making
Multi-horizon forecasting for limit order books
A multi-step path is forecast using deep learning and parallel computing
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
Competition may be coming to crypto ETP market-making
Flow Traders makes markets in every European cryptocurrency ETP. Banks want in on the action
Bill Dudley: exclude reserves, not Treasuries, from SLR
Former head of NY Fed says standing repo facility and reform of G-Sib buckets also key
Derivatives house of the year: Citi
Risk Awards 2021: digital bets and customer-centric model paid off during pandemic
Options pricing framework buckles under GameStop frenzy
Wild retail trading sees calls sink below intrinsic value ahead of expiry as puts break spot correlation
Ronin, felled prop giant, shuts up shop
Firm cancels regulatory licences; traders receiving payouts on equity stakes
UK watchdog has competition concerns over Ion-Broadway deal
Trading tech giant has five days to address issues, or face months-long investigation
Leverage ratio squeeze hits options trades
With clearing banks constrained by leverage limits, prop traders fear options market lockdown
For FX dealers, virus brings volumes
Mixed feelings for sell-side traders as Covid-19 spurs wave of speculation and hedging
Tradeweb’s IPO shows how OTC markets are changing
RFQ pioneer is embracing new protocols and liquidity providers in a bid to connect the OTC markets
Drax, Brevan and the rise of the agency broker
JB Drax has become a key broker for at least 15 buy-side firms, including Brevan Howard. But what is driving the success of the secretive agency broker and its peers?
A threat to the Ion throne?
Banks need connections to e-trading venues; they don’t want the other services that come with them
Currencies flow market-maker of the year: Citadel Securities
Risk Awards 2019: Credit innovation opens up market-making to previously out-of-reach customers
Equities flow market-maker of the year: Citadel Securities
Risk Awards 2019: Risk management overhaul helps market-maker navigate February 5 volatility
Off-the-run barriers frustrate Jump Trading
Chicago prop firm has been unable to break into the market for off-the-run Treasuries
Banks scan chat and web for trading intel
Market-makers seek new signals on volatility and direction via natural language processing
Benefits and risks of central clearing in the repurchase agreement market
In this paper, the authors quantify the potential direct economic benefits to market participants and increased risks to CCPs of moving bilateral repo transactions between US dealers and their nondealer clients to CCPs.
Mifid drives ETF trading on to platforms
Best execution rules push Tradeweb ETF volumes up 32%, but smart order routers may alter trend
State Street uncovers a bond liquidity mystery
Bigger trades are cheaper, research finds – and investor analytics head, Mark McKeon, knows why
EU prop firm capital crunch could hit market liquidity
Traders claim they would be put out of business by bank-style capital rules
US lawmakers divided over Volcker rule’s impact on bond liquidity
Both sides cite Fed data to support their interpretations of prop trading ban
Don’t keep up with the Kardashians
Dealers may have gifted the buy side an information edge
Pricing in the dark: how dealers lost their information edge
Asset managers may have an information advantage over dealers in bond pricing