February 25th, 2024 - The net asset manager’s (AM) position of the U.S. 10-year futures from the Commitment of Traders (COT) report is at a 3-year high. The Figures show credibility to our roll forecasts model.
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January 25th, 2024 - In this article, we will mainly look at month-end intra-minute volume profiles of Cash Treasury around the benchmark timing of 4:00 p.m. Eastern Time. Additionally, we also analyze the price profiles around the benchmark timing.
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November 20th, 2023 - Our recent research examines how block trades impact futures markets and interest rate product calendar spreads.
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September 15th, 2023 - This paper provides comprehensive details of robust regression, which was referenced in our previous paper, "Robust Cost Modeling."
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September 15th, 2023 - The purpose of this note is to contrast the usual ordinary least squares regression (OLS), which uses a normal error model, against a robust model that uses a log-cosh error model as described in the paper.
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June 26, 2023 - In this paper, we use the concept of cross-correlation to assess the pairwise cross-impact between futures and different cash Treasury venues.
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Mar 31, 2023 - We provide proof of concept solutions to solve trade execution problems using deep reinforcement learning (RL) and classical methods.
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Mar 9, 2023 - ASX 3-Year futures (YT) tick size was increased in October 2022. This paper aims to analyze the impact of the tick size increment on the microstructure changes.
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Jan 3, 2022 - In this paper, we analyze the cash Treasury volume profiles to improve our volume modeling according to the recent changes in the market structure.
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Dec 14, 2022 - We cluster instruments by microstructure variables using Variation Autoencoder for aggregation and accommodate for limited order level data.
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Jul 1, 2022 - Acting on aggressive-aggressive opportunities for basis trading requires care, and here we give an example of the type of analysis we are using to improve our basis execution.
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May 3, 2022 - QB’s volume forecast model accommodates month-end seasonality in CME futures, which improves model performance across the entire QB Algo Suite.
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April 26, 2022 - This article uses QB production orders data to analyze QB’s arrival-price slippage performance during previous roll periods for CGB outrights and calendar spreads.
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March 31, 2022 - The average production slippages of CLOSER algo improved in most commodity futures compared to the original algorithm.
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March 21, 2022 - Volume and volatility forecasts form the core of any execution algorithm, specifically those following a VWAP strategy, such as QB’s STROBE and CLOSER algos. QB’s volume modeling is sophisticated in several ways as it adapts to regimes and seasonality such as roll-periods and month-ends. This article analyzes the volume profiles of ES futures, but the pattern is consistent across several futures.
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Feb 24, 2022 - Given the profound changes in microstructure variables and the rise of algorithmic trading over the years, we study changes in the trade size clustering across active contracts (ES and ZN) using ten years of data.
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Feb 16, 2022 - As we embark upon the rates futures roll-period, we analyze the mid-month changes in the microstructure variables of the rates futures and compare the same against the previous roll periods.
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Feb 3, 2022 - Our findings include the recent month’s averages of rates and equity index futures and their deviations from December 2021 and the previous 3-years.
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November 23, 2021 - We look at market data on Thanksgiving and Christmas in the past few years to examine liquidity around the holidays.
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November 17, 2021 - In this paper, we review our treasury roll forecast accuracy from Aug 2018 until now.
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