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The Speed of Dark
Faster Trading, slippage from arrival, trading, equitiy trading, portfolio managers, long only, hedge funds, dark liquidity, dark fills, blockseeker, algorithms, trader instinct, trading strategies, liquidity, participation rates, higher trading costs, participation, algo trading strategies.More
High Volumes Require Premium Solutions
The US Option market has experienced consistent growth with 2013 marking the 2nd highest volume in history. Complex order book volume has become a significant portion of the overall industry volume.More
Intelligent Order Routing with Greater Flexibility
Broker Dealers of all types including Agency, Proprietary and Hybrid are continually searching for the right balance between access to liquidity and costs.More
Is your basket Full?
When trading portfolios, the composition of the basket of stocks, market volume, volatility, and return correlation are key factor. Many algo take a "one size fit all" approach based on static, historical data and single=period estimates. The problem with this approach is that it can cause negative cost and risk implications as these factor often differ over the course of just a few hours, even...More
Anticipating liquidity events during the last 15 minutes of trading
The last 15 minutes of the trading day present significant opportunities but even within this very active timeframe there are some notable liquidity inflection points. By opportunistically participating in volume upticks at 3:45, 3:50 and 3:55, traders can effectively source liquidity while managing impact.More
ETFs to Play an Aggressive Defense
Going into May with the SPX Index up a startling 12% Investor have wanted to stay in the game to capture further growth in equities but want to be defensive in case of a pullback. Then results has led to massive growth in Low or Minimum volatility ETFs, SPLV, USMV and LGLV which have all outperformedMore
Are You Trading Small Caps Optimally?
Nearly Half of all algo flow in Small and Micro Cap names is executed via Scheduling algorithms approx. 10% more than overall algo flow. However, the volatile volume profile and wide spread of these names can pose challenges to Scheduling algos, causing market impact as seen in the high interval returns and arrival slippage statistics below.More
Does your broker run a 4.19 or a 4.82 40? Speed Matters!
In searching for hard to find liquidity, today's traders are increasingly relying on more aggressive algorithms to intelligently source safe trading venues. BofAML research has shown that dark liquidity can significantly improve order performance. BofAML has developed new routing technology, Instinct Access™, to reach these venues more quickly and actively than ever before.More
Swaps: Dynamically Financing Your Portfolio
Take advantage of short term funding movements by varying your roll dates. Using data from 2000-2012, BofAML's Delta One Desk calculates that the implied funding cost in S&P 500 futures cheapens on average by 3bps post expiration. As expiration gets closer, long SPX futures rollers drive rolls richer. In Q4 2012, our most recent and extreme example, funding richened 51bps over the last two...More
Fed Funds Rate Announcements Affect Overall Market Volume
Volume prediction and real-time volume tracking play a key role in algorithmic performance, especially for long-duration Scheduling strategies. Special market events can concentrate liquidity at certain times of day and alter the overall volume profile. At BofA Merrill Lynch we have found that Fed Funds Rate announcements affect the volume curve at the time of the announcement and affect...More
- The Speed of Dark Trader Trends
- High Volumes Require Premium Solutions Trader Trends
- Intelligent Order Routing with Greater Flexibility Trader Trends
- Is your basket Full? Trader Trends
- Anticipating liquidity events during the last 15 minutes of trading Trader Trends
- ETFs to Play an Aggressive Defense Trader Trends
- Are You Trading Small Caps Optimally? Trader Trends
- Does your broker run a 4.19 or a 4.82 40? Speed Matters! Trader Trends
- Swaps: Dynamically Financing Your Portfolio Trader Trends
- Fed Funds Rate Announcements Affect Overall Market Volume Trader Trends
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