Automated Trader Magazine | Strategies | Compliance | Technology

Features
How much is your zero collar worth?Hint: It's not zero. A widespread shortcut used in swaption pricing led to an opportunity for dealers to engage in model arbitrage and to buy cheap convexity.
A cloudy data centreCloud computing offers increased security potential and vast resources to fuel the computational demands of trading. It can do this while still offering users operational ownership control over costs. For firms looking to make the transition from on-premise to the cloud, here are some of the key considerations.
Financial Programming Greatly AcceleratedFPGAs are about to become a lot more attractive as the technology of choice for cutting-edge application development. Pre-compiled numerical libraries and an integrated software stack, combined with a new class of closely-coupled silicon devices, are the drivers.
The difficulty of identifying multi-broker spoofingTrading through multiple brokers has been used by spoofers to help avoid detection. New regulations for cash equity markets in the EU and US are designed to curtail the practice.
Regime changes in automated tradingThe term structure of interest rates provides many opportunities for systematic traders. The level, slope, curvature and volatility of interest rate markets are all heavily regime-dependent. Early identification of changes in regime is key for developing successful trading strategies.
Developing a short-term machine learning strategyOpen-source software for machine learning is widely available for standard data analysis packages. We examine how a stack built on these can be used for time series prediction.
Trends in market share of derivatives clearingThe financial crisis led to the biggest overhaul of regulation since the Great Depression. We examine how the new rules have affected the market for derivatives clearing in the US.

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