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In: Big Data, HFT, Risk
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U.S. regulators have recently questioned the role that high-frequency trading (HFT) plays in the bond market. The latest research from AbleMarkets studies a subclass of HFTs known as aggressive HFT. The research shows that: 1) Aggressive HFTs initiate, on average, 20% of trades in the U.S. Treasuries market. 2) Aggressive HFTs often trade U.S. Treasuries when no one else does: aggressive HFTs accounted for nearly all of the trades on the post-Thanksgiving Monday in 2014 and the post-Memorial Day Tuesday in 2015. 3) Participation of aggressive HFTs in the U.S. Treasury market has declined slightly in 2015 from 30% in much of December 2014 andRead More →

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In: Quant, Risk
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By Irene Aldridge Many articles on the subject of money talk about different ways to invest the money: which stocks to pick, whether to choose bonds over stocks and Exchange-Traded Funds (ETFs) versus mutual funds. Few of the pieces, however, address the key issue underlying any allocation which may be keeping investors up at night: the implicit costs of placing their money into someone else’s hands. Any investment decision amounts to just that: transferring money into someone else’s care. When purchasing stock of a particular company, an investor transfers his money to the management of the stock-issuing corporation with the sole hope that the managementRead More →

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In: Quant
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By Irene Aldridge The U.S. Treasury bonds and bills (T-bonds and T-bills) have long been the beacon of security for many investors, young and old. With AAA-marked bonds, employees have invested in T-bonds in preparation for guaranteed retirement; parents have bought T-bonds to secure funds for their children’s education; managers of countless mutual funds have sought T-bonds and T-bills to diversify their portfolios without adding on risk. With the now-lower rating on the U.S. government debt assigned by the major rating agency, the Standard & Poors, the bonds and bills investors find themselves questioning as to what to do with their investments: how to findRead More →