October 2, 2021 - In this paper, we highlight the production performance of the CLOSER algorithm specific to Cash Treasury.
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September 10, 2021 - This paper presents a follow-up simulation experiment with a significantly larger parent order size to support our previous finding in Improvements on QB’s Closer Strategy.
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August 11, 2021 - We examined the accuracy of our forecast for the 10-year (XT) and 3-year (YT) Australian bond futures traded on ASX for the past five roll periods. The forecast was 89% accurate for the 10-year and 78% accurate for the 3-year bond future.
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August 2, 2021 - This research analyzes the intraday liquidity profiles of three yen-denominated Nikkei225 equity index futures listed on three different exchanges: CME, SGX, and JPX.
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July 21, 2021 - We examine the relationship between trading costs and price levels with our order-level data and find our cost model robust to price levels.
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June 24, 2021 - The purpose of this paper is to show how we adjusted our volume profiles for the upcoming Russell rebalance day on June 25th, 2021.
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June 22, 2021 - In our recent whitepaper “Intraday Liquidity Profiles of Bitcoin Futures and Micro Bitcoin Futures” we analyzed the intraday profiles of BTC futures and compared them against the liquidity of the MBTC.
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June 7, 2021 - In this whitepaper, we show the Bayesian adjustments and the results of our volume forecast model to accommodate the shift in benchmark timing for Bloomberg Barclays US Aggregate Bond Index.
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May 10, 2021 - In this whitepaper, we examined the changes in the microstructure of STOXX Banks futures (FESB) to analyze the potential impact of the tick size reduction of STOXX 50 futures (FESX).
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April 7, 2021 - In this paper we examine the impact of tick size changes on Eurex DAX Index Futures (DAX) outrights’ microstructure variables.
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March 24, 2021 - In this paper we measure schedule-based algo execution performance by looking beyond slippage against benchmarks, and trading speed metrics, in order to verify if the realized schedule was fast or slow.
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February 23, 2021 - In this paper, we describe our machine learning technique of an unsupervised Neural Network method to cluster instruments.
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January 25, 2021 - In this paper, we present a regression-based methodology to improve the volume predictions during the continuous hours and specific events such as the settlement window.
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January 26, 2021 - In this paper, we outline our approach to adjust for the end of the month days for the 10-year and 30-year Cash Treasury. The method is similar to other instruments as well.
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December 22, 2020 - This paper summarizes recent updates on three key components of the Closer algorithm. QB's Closer is an alternative way of targeting settlement price. The Algo incorporates an intelligent combination of price and volume forecast along with an optimization technique for order placement.
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November 12, 2020 - In this article, we analyze the changes in the term structure after the election. The findings are interesting as the level of VIX has dropped whereas the implied volatility term structure of options on E-mini S&P 500 futures indicates the possibility of an extreme movement.
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October 29, 2020 - In this paper, we use end-of-day data of VIX futures, options on E-mini S&P 500 futures and options on 10-Year Treasury to analyze the uncertainty related to the upcoming presidential election.
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October 8, 2020 - In this paper, we propose a simple model for summarizing historical trade performance in futures markets.
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August 31, 2020 - In this research, we compare the microstructure variables of ASX 3-Year and 10-Year calendar spreads during the September roll period against the previous roll periods.
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September 24, 2020 - In this paper, we apply the causal forest, a semi-parametric estimator for causal effects, to identify the impact—precisely, the partial effect—of order and trade size on price, as well as how these impacts vary with market conditions.
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