The Gateway to Algorithmic and Automated Trading


Published in Automated Trader Magazine Issue 17 Q2 2010

Owain 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.

Owain Self

Owain Self

The Scenario: It is late March and the manager of a large cap equity fund has been tracking Aviva for several weeks with a view to taking a position. The stock made a high for the past year of 474p in October 2009, but since then has drifted lower and remained in a channel between 340p and 430p (see Figure 1). The fund

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