Trading costs
HSBC North America posted most loss-making days in Q3
The foreign IHC traded in the red 43 out of 64 days, the highest among 32 banks analysed
New fee plans for FXGO rile dealers
Bloomberg plans to charge spot FX market-makers from next year
Measuring expected cost models on large FX trades
BestX study assesses factors influencing algo performance on trades over $100m in size
HSBC shifts part of US precious metal trades to UK
US subsidiary transfers all related market risk to headquarters
How patchy liquidity is stymieing systematic credit
…and what investors like AllianceBernstein, Man Numeric and Acadian are doing about it
Getting more for less: better A / B testing via causal regularisation
A causal machine learning algorithm is used to estimate trades’ price impact
Treasury clearing will drive up trading costs: BofA exec
Rates co-head warns SEC proposal could squeeze smaller dealers out of Treasury market
NIT protocol expanded among plans to electronify the full bond lifecycle
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Optimal turnover, liquidity and autocorrelation
A novel optimal execution approach via continuous-time stochastic processes is introduced
Liquidity stress-testing using optimal portfolio liquidation
A methodology to derive liquidation costs and times in OTC markets is proposed
New rules could see hedge funds sued for ‘doing a good job’
SEC proposal would make it easier for investors to sue hedge funds than mutual funds for negligence
Buy-side traders start to cool on ESG-deficient dealers
Managers adopting ESG metrics in counterparty evaluations may exclude dealers that aren’t up to scratch
A new metric for liquidity add-ons: easy as ADV, but better
Proposed measure allows brokers to calculate stable, stock-specific liquidity add-ons
Zooming in on equity factor crowding
A measure for crowding in trades is derived from supply and demand imbalances
How low can you go: falling cost of FX fix sparks concern
Algorithms reducing fixing fees, but some dealers willing to go even lower – perhaps dangerously so
Mifid best execution relief for buy side hangs by a thread
Largest grouping in European Parliament faces uphill battle to suspend RTS 28 reporting
The liquefied natural gas spot market and valuation of the rerouting option
The goal of this paper is twofold: (1) to describe the new outlook of LNG markets, which has become more and more spot-centric, with Asian LNG futures bringing transparency to spot and forward prices; and (2) to address the valuation of the rerouting…
Credit Suisse traded most with top Pimco funds in 2019
Bank’s US securities arm conducted trades worth $639 billion over 12 months to end-March 2020
Preparation paid off for funds during Covid liquidity crunch
Buy-side risk survey: how asset managers weathered the liquidity crisis in March
Buy side hopes for best execution reporting carve-out
After EC exempts venues from best execution reporting, Aima hopes RTS 28 reports will be next
Worth the cost? EU rethinks Mifid disclosure rules
Banks would gladly be rid of cost disclosures, but some clients want them improved, not scrapped