Algorithmic trading
FX vol revived by Covid-19 – but for how long?
Traders split on whether virus impact, or central bank responses, will prove most powerful
In choppy forex markets, algos buck expectations
Goldman, Nomura and others report increased volumes, although some clients revert to principal quotes
E-trading takes hold for FX swaps – sort of
Bulk of trades are being executed over screen, but bolder changes have stalled
Connecting equity and foreign exchange markets through the WM “Fix”: a trading strategy
In this paper, the authors show the connection between equities and foreign exchange markets via this window, they leverage this connection using an algorithmic trading strategy and rank various statistical techniques used to make predictions for trading…
Smarter trading in a fragmented world
FX Week recently hosted a webinar in partnership with Refinitiv to ask foreign exchange industry leaders to discuss geopolitical challenges, market changes and developments, and evolving technologies, and how they have shaped forex markets in Asia
Buy side still not adopting global forex code – Debelle
Forex committee wants asset managers to embrace standards; shifts focus to algo trading
Innovation in execution: Morgan Stanley
Risk Awards 2020: Odd-lot bot handles almost half of bank’s credit trades
Cultural appropriation: private equity goes quant
Machines are helping venerable shops find under-the-radar performers and factors that drive them
At bounding MarketAxess platform, a new CRO parses risk
Clarity and communication are basics to Oliver Huggins at one of the biggest US bond platforms
How Virtu trained its intelligent algos
Firm has sought to meld traders’ instincts with insights from ‘massive scale’ data
Euribor futures spread spike strangles prop traders
Safe-haven butterfly trades savaged by shock divergence in mid-term contracts
Rival FXPBs scoop up former Citi clients
BNP Paribas, Deutsche Bank among those taking on clients axed by the US bank, plus others worried they’ll be next
Resented elsewhere, Mifid finds love at Esma
Huge cache of data helped Esma spot market abuse and inform policy, head of market data policy says
Model risk management transformation
Financial institutions have been maturing their approaches to MRM and – as models become more complex and pervasive, and regulatory expectations continue to increase – leading financial institutions seek faster and further movement. Ashutosh Nawani, head…
JP Morgan’s Hudson: innovation stuck in trading web
Risk Live: Digital head floats shared platform, rather than “point solutions”
UBS unleashes Orca for rates clients
Machine learning algo trawls liquidity pools to slash US Treasury trading costs
Keeping the robots honest
Human overseers are in short supply in an arena where losses can be crippling in minutes
Citi culls HFTs from FXPB client list
HC Technologies, Jump Trading and Virtu Financial among those told to find a new prime broker
A powder keg in forex: the prime broker business
Brokerages look at high-speed algo trading paired with bloated credit limits – and shudder
An optimized support vector machine intelligent technique using optimized feature selection methods: evidence from Chinese credit approval data
This paper focuses on feature selection methods for support vector machine (SVM) classifiers, checking their optimality by comparing them with some statistical and baseline methods.
Use-cases for Mifid II data prove elusive
Banks running market share analysis from trade reports, but data quality hampering other projects
Stability heightens flash crash risks – research
Liquidity breaks down when latent orders are revealed too slowly, quant firm says
Buy-side quant of the year: Gordon Ritter
Risk Awards 2019: Quant uses new tech to tackle old problem of optimal execution