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Christophe Rilinger of RTS interviews Alan Shontz of the CME
OUR MAIN HEADLINE THURSDAY 21 AUGUST, 2008

Christophe Rilinger of RTS interviews Alan Shontz of the CME

Christophe Rilinger of RTS interviews Alan Shontz of the CME

  ...full story
Automated Trader Issue 10 Q3 2008
FROM THE Q3 PRINT EDITION previous next
Dark Pool Delivers

Quantitative Service Group’s (QSG) June research note on NYFIX Millennium trade execution has caused quite a stir in the industry. The research, which examined three months of detailed NYFIX execution data, will leave buyside traders who have long sought empirical evidence on the performance of dark pools praying that it is just the tip of the analytical iceberg. Andy Webb talks to Tim Sargent, President and Co-founder of QSG, about the report and its findings.

Only the versatile need apply

Legal and General Investment Management (LGIM) has some £300bn in assets under management invested globally. Almost half of this is invested in equities. Mary McCave, LGIM’s senior equity dealer, discusses how LGIM’s trading desk stays on top of the trade.

Showtime!

Automated Trader has been on the move recently. As visitors to automatedtrader.net will know, we were in Dubai for the first Trade Tech Middle East, and before that, we were in New York for SIFMA and London for IDX. Here, we take the opportunity to celebrate three of the main events in what has been a busy Summer for the industry.

Volatile but fundamentally floored?

We continue our coverage of commodities with one man’s analysis of the long-term case for investment. David Nahmanovici delivered his analysis at IDX in London, back in June. We were in the audience.

A basket of abstractions

First person in the Q3 issue is South Africa-based subscriber Schalk Myburgh, Business Analyst, Nedbank Equity Capital Markets, who shares his experience of automated and algorithmic trading on the Johannesburg Stock Exchange with editor William Essex.

The way we shouldn't have been

Editor’s note: Peek Ahead is our venue for blue-sky thinking, challenging conventional wisdom and out-and-out disagreeing over key industry issues. If you would like to comment, or disagree, or send in some of your own blue-sky thinking, write to editor@automatedtrader.net. Where appropriate, contributions will be published on this page and/or on the website.

Algorithmic Trading: What do I really need to do?

Some bright spark is suggesting that your organisation needs to build its own execution algorithms. They loudly point out all the advantages your competitors have gained by doing this. But what is actually involved in embarking on such a project? Dr Paul Lynch, managing partner of PE Lynch LLP, spells it all out.

The fuse is burning

As the momentum of change increases in European equity markets, some obvious similarities with US markets are emerging – but so also are some striking differences. Joe Wald, Managing Director and Co-Founder of EdgeTrade, a Knight Capital Group subsidiary, ponders these similarities and differences, while outlining some of what he anticipates for buyside traders in Europe.

How do you differentiate your electronic execution services?

While the recent proliferation of electronic execution services has presented the buyside with an impressive degree of choice, it has simultaneously landed the sellside with several challenges. How do you make your services stand out from the crowd? What are the main competitive differentiators from the buyside’s perspective? How best can they be delivered? Five leading sellside providers share their views.

Open Source for Auto/Algo?

Open source software has made huge strides in terms of credibility in recent years. So is now the time to consider it for auto/algo trading? Graham Miller, CEO of Marketcetera, definitely thinks so.

    Bootstrap
  • FPGA Acceleration of European Options Pricing Today, Monte Carlo (MC) methods are widely used in finance to price derivative securities. In this approach, the value of the option is expressed in terms of an integral of very high dimensionality. Monte Carlo methods are used to estimate the value of th...full story
  • Hard and Fast? This is an extended version of the Tech Forum that appeared in the Q1 2008 edition of Automated Trader. It includes an additiona
  • Structural Models Statistical Arbitrage: Algorithmic Trading Insights and Techniques Chapter 3 Structural Models
  • Statistical Arbitrage Statistical Arbitrage: Algorithmic Trading Insights and Techniques Chapter 2 Statistical Arbitrage
  • Monte Carlo or Bust Statistical Arbitrage: Algorithmic Trading Insights and Techniques Chapter 1 Monte Carlo or Bust
  • Data-Mining Bias: The Fool’s Gold of Objective TA The following excerpt is from Chapter 6 of David Aronson's recently published book "Evidence-Based Technical Analysis". Together