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The Liquidity Seeker

Published in Automated Trader Magazine Issue 08 Q1 2008

Chris McConville, Executive Director, Equities at UBS Investment Bank, narrates the typical use of a liquidity-seeking algorithm to trade a fictitious investment trust.

The Asset: Mythica Trust is a global investment trust company that manages some GBP 2.4 billion of assets. Typical bid/offer spread is 0.5p.

The Challenge: To buy 1.5 milli

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