The Gateway to Algorithmic and Automated Trading

Automated Trader Magazine Issue 31 Q4 2013

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Stock market values may have recovered, but volumes are still a long way off from before the global financial crisis. The average daily value of share trading around the world was more than $47 trillion in the first half of 2008 (source: World Federation of Exchanges). At nearly $28 trillion now, the total is more than 40% below pre-crisis levels.

But that’s only part of the story. The latest number is also up 23% since the start of this year after notching its first significant increase since the crisis.

This sense that the mood may be shifting, coupled with a series of huge developments in the world of financial exchanges, convinced us to make the theme for this issue of Automated Trader focused on what’s happening in the exchange space. The short answer: a lot!

In ‘Exchange Wars’ , we examine some of the drivers behind all of the change, from regulation to product innovation. Then, in ‘New kids on the block…again’, we talk to two former Chi-X executives who are building very different exchanges, each of whom thinks he has a potential game-changer.

Anyone who trades knows that the industry has been beset in recent months by technological problems. ‘Ain’t life a glitch?’ looks at what the venues, their users and regulators are saying about how to deal with the ever-present threat of a tech failure. And we conclude our exchange series with an update of an article that got a lot of attention in our Q3 edition. Ion Asset Architecture’s Dennis Lohfert gives us more to chew on concerning Eurex’s new trading system.

Mary-Ellen Barker examines what’s happening in Japan in ‘Muscle and Speed’. Japan’s economy and markets are enormous, but the country has been slow to adopt algorithmic trading. Is that starting to change?

As usual, we begin our issue with an extended chat with a buy-side player who is doing new and interesting things. This edition’s ‘First Person’ interview is with Andrew Auerbach, who is starting a trading outfit in Brazil and thinking about launching another one in Russia.

‘Me and My Machine’ meanwhile features Jim Moore, a fund manager who has been in the markets since before some Automated Trader readers were born. He embraced algorithmic trading in the 1990s and he’s still at it.

In ‘The underlying dog and the option tail’, AT founder Andy Webb talks to Dr. Tyler Brough of Utah State University about his work exploring whether options prices can act as a leading indicator of their underlying instruments.

Finally, for all the film buffs out there, you may enjoy a couple of homages to two of the classics in these pages. We’re pretty sure you’ll spot them without our help.

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