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Against All the Odds

Published in Automated Trader Magazine Issue 18 Q3 2010

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.

Kevin Twitchen

Kevin Twitchen

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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