Pricing algorithm
Plugging the leaks in skewed pricing
Liquidity recycling has made it trickier for LPs to identify information leakage
Mifid’s free data mirage vexes markets
Users struggle to access post-trade data despite European regulator’s push for transparency
Innovation in execution: Morgan Stanley
Risk Awards 2020: Odd-lot bot handles almost half of bank’s credit trades
Improving the Brazilian electricity market: how to replace the centralized dispatch by decentralized market-based bidding
This paper proposes replacing the Energy Reallocation Mechanism with a bid- based short-term market called the virtual reservoir model.
Podcast: Fries on Monte Carlo, Greeks and the future of AAD
Research on AAD is not complete until it becomes easier to implement, says quant
Profile: UBS on the past and future of fixed income
Two-and-a-half years into a strategy its rivals claimed would render the bank irrelevant, UBS is swimming with the tide of post-crisis reforms and has just seen its revamped fixed-income business record its best quarter yet. The big question is whether…
Optimal execution with a price limiter
Balancing the price uncertainty and price impact of large orders is an important issue for many market participants. While classical approaches lead to trading algorithms that are invariably price-path insensitive, in this article, Sebastian Jaimungal…
Smile transformation for price prediction
Options prices are driven by supply and demand in the market while simultaneously being bound by no-arbitrage restrictions. This makes it difficult to create models for their prediction. Petros Dellaportas and Aleksandar Mijatović use a simple time…