Liquidity recycling has made it trickier for LPs to identify information leakage
Liquidity recycling by clients has made it more difficult for banks to keep skews quiet
Oxford-Man Institute is among those asking: could algorithms gang up and squeeze customers?
E-trading firm aims to capture all Canada’s electronic fixed income trade, requiring a culture shift
Users struggle to access post-trade data despite European regulator’s push for transparency
Risk Awards 2020: Odd-lot bot handles almost half of bank’s credit trades
Improving the Brazilian electricity market: how to replace the centralized dispatch by decentralized market-based bidding
This paper proposes replacing the Energy Reallocation Mechanism with a bid- based short-term market called the virtual reservoir model.
Research on AAD is not complete until it becomes easier to implement, says quant
Swiss bank's fixed-income trading floor is home to two distinct businesses
Balancing the price uncertainty and price impact of large orders is an important issue for many market participants. While classical approaches lead to trading algorithms that are invariably price-path insensitive, in this article, Sebastian Jaimungal…
Prediction of arbitrage-free option prices that outperform existing models