Bank of America Merrill Lynch supports our clients’ success with an array of value added services including global commission management, vendor consulting, execution consulting, third party research, hedge fund consulting and 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 weeks...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 overall...More
Efficiently Source Liquidity at the End of the Day
End of day trading continues to play an important role in how institutions are completing orders and sourcing liquidity. BofAML has found during the last 15 minutes, typically spreads are tighter, volatility is lower and more liquidity is available to trade because of a number of micro-structure changes.More
How can market movements be incorporated into single stock algorithm orders to improve execution quality?
High correlations between market indexes, ETF's and single stocks provide opportunities to improve the performance of single stock algorithms. Recognition of a trending market or delta in relative returns can be leveraged into more enlightened order placement. Instinct® can now recognize even a short term divergence in relative returns to improve trading performance.More
- 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
- Efficiently Source Liquidity at the End of the Day Trader Trends