Market impact
A comparison of FX fixing methodologies
FX fixing outcomes are mostly driven by length of calculation window
Six CCPs fail to cover concentration risk in Esma stress test
Largest shortfalls modelled in commodity derivatives segment, led by Ice Clear Europe ECC
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
Mission-critical risk frameworks vital for navigating volatility
Financial markets in 2023 have been marked by heightened volatility, and driven by economic uncertainty, geopolitical tension and technological disruption against a backdrop of digitisation. As the repercussions of bank failures and rising defaults…
Quants look to language models to predict market impact
Oxford-Man Institute says LLM-type engine that ‘reads’ order-book messages could help improve execution
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
Exploiting causal biases in market impact models
Model calibration gains efficiency by including biased but adjusted trading data
Getting more for less: better A / B testing via causal regularisation
A causal machine learning algorithm is used to estimate trades’ price impact
We need to talk about pre-hedging
Dealers claim it’s a vital tool for managing risk. Clients say it’s open to abuse. How should regulators treat the problem child of financial markets?
Iosco takes aim at pre-hedging with new probe
Global standard-setter intends to release results of review in third quarter of 2024
HFT activity increases periodic auctions costs
Eightfold jump in market impact as more trades head to once-benign execution format
Podcast: Barzykin and Guéant on FX market-making
Industry quant teams up with academics to build better risk tools for FX markets
Dealing with multi-currency inventory risk in FX cash markets
A market-making model that considers correlation, transaction costs and market impact is presented
P2P platforms look to bring banks into the fold
The USP of peer-to-peer FX matching venues is that they cut out the middleman. So why are they now inviting them in?
UK’s plans to ditch share trading rules threaten liquidity
Asset managers say London’s decision to relax EU equity regime will fragment liquidity – with unpredictable consequences
FX primary venues seek reversal of fortunes
EBS and Refinitiv fight to restore market share – but bilateral trading may be too entrenched, dealers say
Fragile liquidity puts markets in ‘danger zone’
Some measures of trading conditions are as poor as in 2008
US Treasury market preps for reporting showdown
Sifma expected to attack transparency plans; prop traders brand objections “crazy”
Market-making by a foreign exchange dealer
An optimal liquidity model for pricing and hedging decisions is presented
Optimal turnover, liquidity and autocorrelation
A novel optimal execution approach via continuous-time stochastic processes is introduced