November 23, 2021 - We look at market data on Thanksgiving and Christmas in the past few years to examine liquidity around the holidays.

November 17, 2021 - In this paper, we review our treasury roll forecast accuracy from Aug 2018 until now.

October 2, 2021 - In this paper, we highlight the production performance of the CLOSER algorithm specific to Cash Treasury.

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.

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.

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.

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.

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.

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.

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.

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).

April 7, 2021 - In this paper we examine the impact of tick size changes on Eurex DAX Index Futures (DAX) outrights’ microstructure variables.

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.

February 23, 2021 - In this paper, we describe our machine learning technique of an unsupervised Neural Network method to cluster instruments.

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.

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.

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.