Trade execution
Recent volatility highlights tech’s vital role in fixed income pricing
MarketAxess’ Julien Alexandre discusses how cutting-edge technology is transforming pricing and execution in the fixed income market amid periodic bouts of volatility
Calls grow for dealers to unbundle US Treasury clearing
SEC’s Gensler and NY Fed’s Neal turn up pressure on dealers to clear ‘done away’ trades
JP Morgan’s new way to trade FX overlays
Hybrid execution method allows clients to put dealers in competition via a single trading agreement
Inside BGC’s quiet move into agency broking
The interdealer broker’s Caventor Capital arm is pitching a hands-on service for hedge funds, filling what it sees as a gap left by large banks
As T+1 looms, non-US firms consider out-of-hours trading
Pruned settlement cycle forces foreign buy-siders to explore automating the FX leg of securities trades
How corporates are tooling up for FX risk
Unstable markets have forced corporate treasurers to adopt whizzier methods for managing currency exposures
JP Morgan pulls plug on deep learning model for FX algos
US bank turns to less complex models that are easier to explain to clients
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
Goldman’s Marquee is a gradual revelation
Multiple apps are being corralled into a sticky cross-asset ecosystem, updated with Python and cloud
Tradeweb treads fine line as API trend brings challenges
Buy-side rates traders look to dodge platform’s interface but remain barred from cross-venue price-shopping
LSEG’s FXall to open access for banks’ NDF algos
Move tipped to help smooth buy-side adoption of algo execution for non-deliverable forwards
‘Holes’ in new UK regulatory net worry trading venues
Regulated venues say rival firms might unfairly escape oversight in activities such as blocking trades and price aggregation
Enhanced expected impact cost model under abnormally high volatility
The authors extend their impact cost model beyond the typical factors to address the larger transaction costs brought on by stock market crowding effects in times of market turbulence.
European corporates scramble for alternative credit sources
Credit lines with traditional bank counterparties exhausted since dollar rally against euro
Buy-side trading system of the year: Tradeweb
Asia Risk Awards 2022
More trading venues face extra supervision under FCA plan
“Woolly” rules fuel concern that bulletin boards and tech providers could be swept in
Growing use of ‘carte blanche’ keeps FCMs ‘awake at night’
Executing brokers want to speed up trade processing, but practice is deemed risky by clearers
Systematic hedge funds eye outsourcing to bank algos
Cost pressures encourage new stream of clients to pass FX algo trading to banks
Podcast: Ritter on optimal execution and reinforcement learning
Hedge fund quant describes a simple rule of thumb for portfolio turnover
Optimal turnover, liquidity and autocorrelation
A novel optimal execution approach via continuous-time stochastic processes is introduced