Transaction cost analysis (TCA)
An eye on API: bilateral FX takes hold with some asset managers
Long-term savings in trading costs are tempting buy-siders to explore direct connectivity with liquidity providers
For US Treasury algos, dealers get with the program
Four banks now offer execution algos on Bloomberg, with plans to go further, faster
BlackRock exec pushes for FX swaps Clob
FX head Chaudhry says all-to-all venue could boost TCA, price discovery and spur algo trading
Pre- and post-trade TCA: why does it matter?
CP+ powers TCA to deliver real-time insights and improve trade performance in complex markets
Driving effective transaction cost analysis
How institutional investors can optimise their execution strategies through TCA, and the key role accurate benchmarks play in driving more effective TCA
Forward thinking: banks adapt P&L markout tools for FX forwards
Dealers modify market impact measurement to get better handle on profitability – and client value
FX data champion outlines transparency push
Stuart Simmons, new head of GFXC working group, wants trading platforms to come clean on how they use client data
FX forwards dealers face added challenges in P&L analysis
Mark-out tools for forwards and swaps trading may not be a panacea
Podcast: Alvaro Cartea on collusion within trading algos
Oxford-Man Institute director worries ML-based trading could have anti-competitive effects
Slicing algos blamed for market impact on dark venues
Fragmented markets contribute to sixfold jump in possible price moves
The cost of mis-specifying price impact
Expected returns can be significantly affected by the wrong use of impact models
Exploiting causal biases in market impact models
Model calibration gains efficiency by including biased but adjusted trading data
Refinitiv’s FXall launches automated forward fixing tool
New service offers asset managers automatic competitive pricing for a benchmark trade’s forward points
New buy-side tools seek to break grip of bank FX algos
Proprietary algorithms come of age to provide alternatives for the buy side
No fair: buy side takes on pricing problem in FX forwards
Interest in TCA is growing as new data sources offer glimpse into murky swaps and forwards market
Podcast: NYU’s Kolm on transaction costs and machine learning
TCA methodologies that ignore partial fills “might be off by 20% to 30%”
A principled approach to clean-up costs in algo trading
The opportunity cost associated with the cancelled portion of an order is quantified
Could private match-making sink public market?
Rise in internal hedging sparks debate over its threat to FX price discovery
Some dealers are much cheaper than others; now you know who
New system will name the three cheapest dealers for liquid securities and show how much they cost
Has Covid stopped the clocks on FX timestamp efforts?
Budget reallocation may not be the only factor stalling standardisation progress, say participants
Innovation in execution: Credit Suisse
Risk Awards 2021: Swiss bank’s AES platform excelled in US Treasury market during March turmoil