Can algos collude? Quants are finding out
Oxford-Man Institute is among those asking: could algorithms gang up and squeeze customers?
CanDeal ideal: could Canada make a sea-change in e-trading?
E-trading firm aims to capture all Canada’s electronic fixed income trade, requiring a culture shift
Mifid’s free data mirage vexes markets
Users struggle to access post-trade data despite European regulator’s push for transparency
Innovation in execution: Morgan Stanley
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.
Podcast: Fries on Monte Carlo, Greeks and the future of AAD
Research on AAD is not complete until it becomes easier to implement, says quant
Profile: UBS on the past and future of fixed income
Swiss bank's fixed-income trading floor is home to two distinct businesses
Optimal execution with a price limiter
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…
Smile transformation for price prediction
Prediction of arbitrage-free option prices that outperform existing models