Algorithmic trading
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
Currency derivatives house of year: BNP Paribas
Risk Awards 2019: French bank hits options windfall in Turkey during currency crash
Q&A: CFTC’s Quintenz talks bitcoin, Nasdaq breach, algo trading
On cryptocurrencies, commissioner worries about spot market, but has confidence in big futures exchanges
BNPP targets US equities in new tie-up with GTS
French bank says derivatives business will benefit from better prices and liquidity in underlying stocks
Jump: inside the secretive e-trading giant
Execs at the Chicago prop firm wish the whole world was a Clob, but as bilateral volumes rise, they’ve decided to go with the flow
All the news that’s fit to print
While the benefits of the information revolution are clear, the risks it brings should not be underestimated, says Andrew Lo
Direct streaming gains foothold in US Treasuries market
Cost savings drive dealers away from Clob model into alternative venues
To Hull and back: a 20-year hiatus in bank e-trading plans
In the 1990s, banks tried to buy automated trading expertise; now, after a long break, they’re trying to build it
Machine earning: how tech is shaking up bank market-making
As banks get serious about e-trading, humans are being asked to give up their secrets to the machines that could replace them
Podcast: Lo on adaptive regulation, machine learning, bitcoin
MIT quant says next project will be to combine behavioural science with tech such as machine learning
The swap market model with local stochastic volatility
An easy to calibrate and accurate swap market model is proposed