Choisissez votre langue

Search

Renseignements

Aucune correspondance

Services

Aucune correspondance

Secteurs d’activité

Aucune correspondance

Personnes

Aucune correspondance

Renseignements

Aucune correspondance

Services

Aucune correspondance

Personnes

Aucune correspondance

Secteurs d’activité

Aucune correspondance

Field Testing Changes in Market Microstructure

 

Disponible en anglais seulement

At BMO, we test venue and order type innovations with small-scale experiments, permutating our order routing to incorporate these new offerings and measure results. It’s a prudent balance of risk and reward for these new trading tactics, but that prudence can also make discerning an aggregate effect on performance difficult.

While early stage tests are useful in measuring the marginal impact of a new order type or venue, effects can be diluted by the existing venues and order types in an algorithm. One way to speed up the learning cycle is to run a more concentrated and focused experiment, but that works best with support and collaboration from an asset manager.

Teaming up with OMERS’ Equity Trading Principal Rob Gouley, we ran a joint experiment with an algorithm that would help us isolate and evaluate the impact of D-Limit. CASE STUDY: Field Testing Changes in Market Microstructure

 

LIRE LA SUITE
Eric Stockland Managing Director, Global Markets

Autre contenu intéressant