Transaction costs
Bilateral streams slash FX trading costs by 80%, dealers claim
Risk Live: At some banks, 70% of spot is now traded via bilateral feeds
Varying bank leverage ratio could fix ‘broken’ repo market
Risk Live: Repo with buy side should incur different leverage ratio, suggests big asset manager
Funds warm to Esma liquidity rules after Covid crisis
Funds are embracing stress-testing, and swing pricing, after “a real liquidity crisis” in March
Choppy markets revive quest for RFQ’s ‘magic number’
Deutsche argues for smaller, stronger panels; Citi offers better prices for 'full amount' trades
Option pricing in exponential Lévy models with transaction costs
We present an approach for pricing European call options in the presence of proportional transaction costs, when the stock price follows a general exponential Lévy process.
Equivalence failure threatens European share trading
UK and EU investors may be forced to trade dozens of shares on less liquid exchanges, analysis shows
Pricing American call options using the Black–Scholes equation with a nonlinear volatility function
In this paper, the authors investigate a nonlinear generalization of the Black–Scholes equation for pricing American-style call options, where the volatility term may depend on both the underlying asset price and the Gamma of the option.
ETF strategies to manage market volatility
Money managers and institutional investors are re-evaluating investment strategies in the face of rapidly shifting market conditions. Consequently, selective genres of exchange-traded funds (ETFs) are seeing robust growth in assets. Hong Kong Exchanges…
Deep hedging and the end of the Black-Scholes era
Quants are embracing the idea of ‘model free’ pricing and hedging
Podcast: Hans Buehler on deep hedging and harnessing data
Quant says a new machine learning technique could change the way banks hedge derivatives
Transaction cost analysis of digital innovation governance in the UK energy market
The latest online early paper in our special issue on blockchain enabled energy markets
Growing an institutional footprint in Asia’s ETF market
Hong Kong Exchanges and Clearing (HKEX) explores the burgeoning impact of institutional investors in Asia’s exchange‑traded funds (ETFs) market – which is demonstrating the potential to establish itself as a global force – with a focus on the rapid…
Pensions and insurers give new impetus to Asia’s ETFs
Cost-conscious institutional investors are embracing exchange-traded funds (ETFs) to lower transaction fees and achieve higher returns. Hong Kong Exchanges and Clearing (HKEX) explores the theme of yield‑chasing among insurers in Asia’s expanding ETF…
Equity market impact modeling: an empirical analysis for the Chinese market
This paper discusses and derives the extremum of the expectation of permanent impact and realized impact by constructing several special trading trajectories in the Chinese market.
Passive funds turn predator in pursuit of pricing edge
State Street, Amundi, HSBC sharpen trading tactics to exploit index changes
Fintech start-up of the year: BestX
Risk Awards 2018: Cost analysis service set to expand into rates next year, after transforming forex
Indexer looks to tap quant fund demand for big data
MSCI’s historical real-time data could be used in backtesting strategies, pricing exotic options
European option pricing under geometric Lévy processes with proportional transaction costs
This paper considers the problem of European option pricing in the presence of a proportional transaction cost when the price of the underlying follows a jump–diffusion process.
Optimal trading with linear and (small) non-linear costs
Bouchaud et al find the optimal trading strategy for a family of predictive signals in the presence of transaction costs
Risk constraints for portfolio optimization with fixed-fee transaction cost
In this paper the authors investigate how fixed-fee transaction costs affect portfolio rebalancing.
AllianceBernstein credit aggregator tackles bond illiquidity
Internal liquidity aggregator helps cut credit trading costs
Bitcoin technology finds new uses in finance
Using blockchain should drastically speed up post-trade settlement
Notes on alpha stream optimization
This paper discusses aspects of optimizing weights for alpha streams (by alpha streams the author means a sequence of predictions of expected returns for each asset given by different models employed by portfolio managers).