‘Anatomy Of An Algo’ Algorithmic Trading Articles & Financial Insight
- Anatomy of an Algo: Managing News Volatility
Trading a stock on the same day it delivers a major investment update almost inevitably involves having to deal with volatility. Eric Krueger, Head of Electronic and Program Distribution, EMEA and Merrell Hora, Head of Equities Algorithmic Product at Barclays show how it can be successfully accomplished if armed with the right execution tools.
- Merger Arb Flip
One certainty of markets is uncertainty, so even established investment strategies don't necessarily play as expected. Gary Stone, Chief Strategy Officer, and Yurij Baranksy, R&D Head of Cross-Asset Arbitrage Trading and Options Trading at Bloomberg Tradebook illustrate an example from the world of merger arb, where a manager's new twist on a trade creates a major pairs challenge for his trading desk.
- Anatomy of an Algo: Beer Necessities
SUBSCRIBERS ONLYWhen an unexpected news event lands right in the middle of a high ADV trade, most execution algorithms struggle to adapt strategy to the sudden change of circumstances. But as Brian Schwieger, head of EMEA Execution Services Sales and James Wardle, Vice President, Execution Services at Bank of America Merrill Lynch explain in this example trade from the brewing industry, there are exceptions to every rule.
- Auto ADRs
SUBSCRIBERS ONLYCertain mandate restrictions can hugely increase frictional costs for asset managers. A classic example is where US managers can only hold ADRs as opposed to directly holding foreign stocks, and have historically been hit hard by instrument conversion costs and FX dealing spreads. Joseph Wald, Managing Director at Knight Capital Group, shows how multi asset algorithmic execution can massively reduce these costs.
- Seizing Value in Financials
SUBSCRIBERS ONLYEuropean banking shares have hardly been flavour of the month for quite a while, but this doesn't necessarily make them any easier to acquire if the order is for a high percentage of average daily volume. David Franklin, Director - Electronic Execution at ING, shows how it can be done by using a combination of a VWAP and opportunistic algo.
- Max ADV, Minimum Impact
SUBSCRIBERS ONLYUS financial stocks had a rough time in 2011, with modest gains up to mid February more than expunged by progressive losses through to midsummer, which were then compounded by a sharp collapse in early August. Kish Desai, head of EMEA Equity Sales, and Ali Mohsin, Algorithmic Trading Product Manager, at ConvergEx Group describe how a trader managed to execute an order approaching half a financial stock's ADV on August 8th - one of the most volatile trading sessions of the year.
- Stormy Waters, Safe Passage with the Semi-Automated Trader
SUBSCRIBERS ONLYDealing Hong Kong stocks under conditions of extreme volatility is the trader's equivalent of steering a ship in a South China Sea typhoon. Bid/offer spreads blow out and sudden, spectacular price movements are a constant threat. But you can trade successfully while the storm is raging, using opportunistic algorithms and relying on sophisticated risk management tools - which have become indispensable since the "flash crash". Murat Atamer, Head of AES Product for Asia Pacific, Credit Suisse Hong Kong, shows how to achieve better performance and safer trading in a sea of uncertainty.
- Balanced Basket
SUBSCRIBERS ONLYExecution algorithms have to work hard enough when they only have to reference one market. In this issue's Anatomy of an Algo, Nitin Gambhir, CEO at Tethys Technology, takes things to the next level by describing the operation of a multifactor algo used for one security (crude oil) in a futures basket trade where individual execution rates were constrained by an execution deviation limit. Oh, and as if that wasn't enough, the trade was executed on one of the most volatile days in the crude market this year.
- A Different World
SUBSCRIBERS ONLYWe’ve written about plenty of equity and FX algorithms, and featured fixed income and derivatives trading venues, but haven't yet featured an algorithm designed for the complex world of interest rates and their derivatives, so we thought it was time that changed - here's a fascinating look at the use of an agency algorithm to take a long position in CME Eurodollar futures.
- Welcome to the Dry Side
SUBSCRIBERS ONLYPaul Bentley, vice-president in EMEA Algorithmic Products at Citigroup Global Markets, describes the use of an intelligent algorithm that accesses all available liquidity to execute an order that is a high percentage of average daily volume, in an illiquid small cap stock, without impact.
- Fishing Efficiently
SUBSCRIBERS ONLYAlex Paley, Global Head of Algorithmic Product Development CIB - Global Markets at Deutsche Bank, outlines a portfolio transaction involving five stocks using a dark pool algorithm that optimises pool selection and minimises gaming risk.
- Against All the Odds
SUBSCRIBERS ONLYKevin Twitchen, global head of algorithmic trading at Morgan Stanley, tracks the use of a non-displayed, opportunistic, non-schedule-based algorithm to dispose of a substantial position in France Telecom during an extremely challenging trading session that coincided with a bank holiday in the UK.
SUBSCRIBERS ONLYOwain Self, Head of Algorithmic Trading, Americas and EMEA at UBS, outlines the use of a liquidity seeking algo to acquire a substantial position in Aviva on a day when the stock went ex-dividend.
- Barclays Mix’n’Match
SUBSCRIBERS ONLYToby Bayliss and Andy White, at Sanford C. Bernstein, illustrate the use of multiple complementary algorithms to work a substantial hypothetical buy order in Barclays in the immediate aftermath of the US president’s announcement of his vision for the banking industry.
- Delivering Delta Neutral
SUBSCRIBERS ONLYJoseph Corona, Director of Strategic Planning at ConvergEx’s LiquidPoint, profiles a volatility trade executed using an advanced option execution algorithm capable of handling both the option and stock legs of the trade simultaneously.
- SAP Closeout
SUBSCRIBERS ONLYMatt Hergest, Head of Liquidity Strategies at Instinet Europe illustrates the use of a multi venue algorithm that accesses the primary exchanges, MTFs and dark pools to sell a position in SAP.
- Dual Algo Drama
SUBSCRIBERS ONLYJoe Wald, Managing Director at Knight Capital Group and Co-Founder of EdgeTrade, outlines the use of a next generation algorithm that links Benchmark and Smart Order Execution strategies to sell a large position in General Electric
- Dual Dollar Drama
FREE ARTICLEBrian Coffaro, product manager for futures and foreign exchange at Bloomberg Tradebook, outlines the use of an FX algorithm to take a short position in AUDUSD.
- implementation shortfall algorithm for illiquid stocks
SUBSCRIBERS ONLYScott Bradley, Head of Electronic Client Solutions Sales EMEA and Chris Andrew, Head of Product Development for EMEA, Electronic Client Solutions at J.P. Morgan outline the use of an implementation shortfall algorithm designed for illiquid stocks to acquire a position in Victrex.
- Scalable participation algorithm
SUBSCRIBERS ONLYToby Bayliss, Head of Electronic Execution Sales, Europe at Citi outlines the use of a scalable participation algorithm to trade a substantial order in BP.
- The Multi-Venue FX Algo
FREE ARTICLEIan Smith, Director, and Cameron Mouat, Head of AES FX Trading, Credit Suisse, provide an example of the challenges of trading sometimes illiquid currency pairs and how execution algorithms capture liquidity across multiple trading venues in the foreign exchange market.
- The Liquidity Seeker
REGISTERED VIEWERSChris McConville, Executive Director, Equities at UBS Investment Bank, narrates the typical use of a liquidity-seeking algorithm to trade a fictitious investment trust.