Trade execution
Optimal turnover, liquidity and autocorrelation
A novel optimal execution approach via continuous-time stochastic processes is introduced
Behnam mulls market structure reform for crypto derivatives
FTX wants to bypass FCMs by integrating margin financing, execution and clearing activities
Prime broker of the year: Barclays
Risk Awards 2022: Focus on risk management helps UK bank win client trust – and balances – in wake of Archegos collapse
Podcast: Man Group’s Zohren on forecasting prices with DeepLOB
Deep learning model can project prices around 100 ticks into the future
GFXC set to tackle reject codes
Co-vice-chair Neill Penney says group will seek to bring clarity to codes assigned to rejected FX trades
A principled approach to clean-up costs in algo trading
The opportunity cost associated with the cancelled portion of an order is quantified
CDS trading remains stubbornly human
Buy-siders sceptical of benefits of algo execution for credit derivatives
OTC FX options market gears up for faster electronification
Share of electronic trading remains low but host of factors promise to change that for good
Has Covid stopped the clocks on FX timestamp efforts?
Budget reallocation may not be the only factor stalling standardisation progress, say participants
Held in suspense: late futures orders blamed for Covid meltdown
Buy-side use of average pricing contributed to rash of failed trades and give-ups last March
Trading heads call for reform of double volume caps
Asset managers endorse UK move on caps and back changes to EU’s unloved share trading restrictions
Algos make market thinner, but not less liquid – BIS
Trading robots change market microstructure, central banks conclude; new liquidity metrics may be needed
Jerome Kemp on the skewed economics of clearing
Only Fed intervention prevented “a really big market disaster” during Covid, says derivatives veteran
AFM seeks to ‘level playing field’ for venues and vendors
Dutch regulator suggests some liquidity aggregators should be classified as OTFs
Equivalence failure threatens European share trading
UK and EU investors may be forced to trade dozens of shares on less liquid exchanges, analysis shows
Full stream ahead for bonds
Price streaming offers cost savings and operational efficiencies, but it could fragment liquidity
Trading venues decry disruptors as MTF battle heats up
Unregulated tech vendors accused of operating as de facto venues; a claim dismissed as “entirely outrageous”
JP Morgan debuts Nexus spinoff for hedge fund exposure
Bank launches matchmaking service for lonely hedge funds and return-hungry investors
Bad clocks block forex best-ex
To get a good deal in fast-moving forex markets, buy-side firms need to know the time. Some don’t
Buy side builds bots to cut trade costs
With margins under pressure, investment firms are looking to accelerate automation push
Poor data hurting buy side’s automated bond trading
Spotty bond liquidity creates gaps in trading data that could harm best execution, insiders warn
Goldman improves execution ‘by 50%’ with new algos
Bank uses neural networks and other AI tools to cut slippage in stock trading
JP Morgan AM creates Taiwan trading hub
New local centre aims to channel orders in bulk, cutting price slippage