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The Trading Mesh

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Quants: (Big) Data Whisperers

February 10, 2015 by Steve Wilcockson   Comments (0)           

Quants are interesting people. Their presence spans both new and old analytics systems, architectures and cultures. Once hailed “masters of the universe”, quants apply mathematics to drive economic growth. They help create liquidity through derivatives, trade efficiently, manage portfolios systematically and assist the financial sector in risk management. Two events have disrupted their world.
First, there was the Global Financial Crisis. A heady mix of toxic derivatives,...

BCBS239: A bad case of deja vu

February 10, 2015 by Gavin Slater   Comments (0)           

On 23rd January 2015 the BIS published its progress report on BCBS239 Principles for Effective Risk Data Aggregation and Risk Reporting. This progress report was striking in a number of ways; first, despite a significant investment there was only marginal improvement in the banks assessment of their ability to meet the principles and worryingly in some cases banks reported a downgrade of their abilities. Second, banks' failure to recognise the fundamental...

Thinking Of FPGA For Trading? Think Again!

February 6, 2015 by Redline Trading Solutions   Comments (0)           

Introduction

High Frequency Trading (HFT) is at an interesting point in its’ technology maturation lifecycle, in which many assumptions and even definitions that previously were valid now need to be rethought, particularly with regards to ultra-low latency requirements: How do you know if you are low enough? How much are you willing to invest to be lower? How do you differentiate when everyone is low? 

Part of this reassessment concerns the role of specialized hardware, notably...

Getting to Grips with Non-Functional Requirements

February 4, 2015 by The Trading Mesh   Comments (0)           

In this article, Mike O’Hara to Ash Gawthorp of The Test People, and Matt Barrett and Olivier Deheurles of Adaptive Consulting, to find out just how critical it can be for companies to take a prudent and careful approach when setting non-functional requirements for new technology.
 
 
Introduction
 
Non-functional requirements can make the difference between game-changing technology and expensive flops. A non-functional requirement doesn’t determine if the...

Return of the concentration rule

February 4, 2015 by Regulation Matters (Fidessa)   Comments (0)           

By Christian Voigt
A long time ago in a galaxy far, far away…
It is a period of calm, with primary exchanges enjoying relatively little competition thanks to concentration rules enforced in many EU countries requiring all equity business to be conducted on exchange. The arrival of a new disruptor, in the form of MiFID I, is about to turn their lives upside down forever. The blanket ban on concentration rules will allow many newcomers to start competing for business, introducing a...

The Evolution of Customised Pricing

January 26, 2015 by Software AG   Comments (0)           

By Eddie McDaid
One business area that is becoming increasingly challenging for banks operating single-dealer platforms (SDPs) in the FX and Money Market space, is that of customised pricing. Banks continue to grapple with the problem of offering tailored prices to specific customers under specific circumstances.  The challenge of doing this increases considerably as customer numbers rise and as speed becomes ever more important. 

In days of old, when SDPs were first used by banks...

The future of TCA for the buy-side: The quest for the Holy Grail

January 22, 2015 by Peter van Wely   Comments (0)           

Transaction cost analysis (TCA) has become increasingly important to help firms measure performance and cost of execution. What are the ingredients for a good TCA and is there a Holy Grail?
TCA can be split into 3 groups: pre-trade analysis, intraday or at-trade analysis, and post-trade analysis.
Pre-Trade helps traders determine the optimal trading horizon as a function of cost impact and price change over time based on a number of variables, including amongst others average volume, spreads,...

Fixing fixed income: taking a leaf out of social media’s playbook

December 12, 2014 by The Trading Mesh   Comments (0)           

In this article, Mike O’Hara, publisher of The Trading Mesh, talks to Paul Reynolds of Bondcube, Peter Fredriksson of Baymarkets, Stu Taylor of Algomi and Andrew Bowley of Nomura to discuss ways the financial industry can work with the buy side to address some of the structural problems that have led to chronic illiquidity in the fixed income market. Also, from the buy-side perspective, Gianluca Minieri of Pioneer Investments spoke with Mike about the issues buy-side firms face in...

Avoiding Prying Eyes? Facing Down Regulatory Arbitrage

December 8, 2014 by Software AG   Comments (0)           

This article originally appeared on TabbFORUM at http://tabbforum.com/opinions/avoiding-prying-eyes-facing-down-regulatory-arbitrage and is reproduced here with the author's permission
By Theo Hildyard
As the US and Europe scramble to enact rules to rein in risk in the capital markets, there remain parts of the world where regulation is still nascent. This can offer irresistible attraction to banks wanting to do business without the Big Brothers of the financial markets looking over...

The gift that keeps on giving

November 25, 2014 by Fidessa   Comments (0)           

This article was originally published at the Fidessa blog, and is reproduced here with permission. By Steve Grob

Since Thomson Reuters announced the withdrawal of its market share reporter, the phones have been ringing red hot with enquiries asking if we could build a replacement using our existing free-to-view Frag website. This prompted a fierce debate here at Fidessa Towers as to whether we should commercialise this opportunity and, if so, what new features we would...