July 29, 2019 - The topic of cointegration is not new to finance literature. The hypothesis of cointegrated bond prices has been thoroughly examined by several authors.

Guest UserJuly 29, 2019

Augmented Volume Measurement for Participation Rate Limits

April 25, 2019 -When using algorithms to work meta-orders on electronic markets, traders often want to place controls on the algorithm in order to limit the market impact.

Guest UserMay 7, 2019

Trade at Settlement (TAS)

April 23, 2019 - Trade-at-Settlement (TAS) on the CME is a listed futures instrument. It permits market participants to trade at a differential to the underlying futures, current day, not-yet-known settlement price.

Guest UserApril 23, 2019

Forecasting U.S Treasury Futures' Calendar Spread During The Roll Period

November 15, 2018 - We continued our previous study and this time we describe additional variables added to forecast the ten days of the roll period, we also outline our multivariate model used in our forecasts.

Guest UserDecember 5, 2018

Machine Learning For Limit-Order Routing in Cash Treasury Markets

June 12, 2018 - Cash Treasuries, unlike most products traded by QB, are available to trade on multiple venues.

Guest UserJuly 31, 2018

Recent Volatility and Changes In Futures Market Microstructure

April 10, 2018 - Market microstructure and liquidity profiles have important implications for the price impact and slippage of client orders.

Joyce MedeirosApril 10, 2018

Intra-Day Price Bubbles

January 16, 2018 - In recent years, the topic of price or economic bubbles has received significant attention.

Joyce MedeirosJanuary 16, 2018

Inter-Commodity Spreads and Implied Pricing

February 10, 2017 - Implied quoting is a characteristic feature of interest rate futures markets.

Joyce MedeirosFebruary 10, 2017

Market Impact and Alpha

January 13, 2017 - Price impact caused by an aggressive order is a staple of market microstructure research.

Joyce MedeirosJanuary 13, 2017

Multidimensional Futures Rolls

December 15, 2018 - Price impact caused by an aggressive order is a staple of market microstructure research.

Joyce MedeirosDecember 15, 2016

Humans: Are we that predictable?

November 12, 2016 - We are often asked at QB if algorithms are always better than humans. It might surprise the reader that we don’t see this as an “us” vs “them”.

Joyce MedeirosNovember 12, 2016

Hidden Liquidity in CME Futures

September 15, 2016 - Hidden liquidity is resting volume available in the order book, that is not visible in market data but that can be traded against by a suitable marketable order.

Joyce MedeirosNovember 4, 2016

QB Simulator Performance

November 4, 2016 - QB’s execution simulator is an important tool for developing and evaluating our algorithms.

Joyce MedeirosNovember 4, 2016

1-Minute Bin Volume Forecast Model

September 14, 2016 - In response to strong client demand, Quantitative Brokers (QB) has developed a new algorithm called Closer benchmarked to the daily settlement price.

Guest UserSeptember 14, 2016

QB vs. Bulge Bracket Bank Algos

February 12, 2016 - Algorithmic futures trading has recently become very popular among the world’s largest commodity trading advisors (CTAs), global macro hedge funds, pension funds and asset managers.

Guest UserFebruary 12, 2016

Entropy and Futures Contracts

August 6, 2015 - Different futures products show markedly different distributions of activity across contract months.

Guest UserAugust 5, 2015

Cash Treasuries vs Futures on October 15, 2014

June 18, 2015 - On the morning of October 15, 2014, between 9:35 and 9:45 New York time, yields on US Treasury securities underwent their largest single-day drop since 2009, and quickly recovered.

Guest UserJune 18, 2015