Kevin 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.
The Scenario: It is Sunday May 2nd 2010
and the manager of a large European hedge fund is looking to
unwind a large multi-leg synthetic pairs basket trade that has
been open for approximately two weeks. France Telecom is a major
long component in the trade and while it has been weak ov
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