Alex 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.
The Scenario: It is late August 2010 and
the manager of a London based fund specialising in mid and small
cap names is considering the fund's investment options for the
period leading up to the year end. In common with other stock
indices, the FTSE 250 has drifted lower throughout a
The remainder of this article is only available to Paid Subscribers