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.
Read MoreOctober 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.
Read MoreOctober 8, 2020 - In this paper, we propose a simple model for summarizing historical trade performance in futures markets.
Read MoreApril 10, 2018 - Market microstructure and liquidity profiles have important implications for the price impact and slippage of client orders.
Read MoreJanuary 16, 2018 - In recent years, the topic of price or economic bubbles has received significant attention.
Read MoreFebruary 10, 2017 - Implied quoting is a characteristic feature of interest rate futures markets.
Read MoreJanuary 13, 2017 - Price impact caused by an aggressive order is a staple of market microstructure research.
Read MoreDecember 15, 2018 - Price impact caused by an aggressive order is a staple of market microstructure research.
Read MoreNovember 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”.
Read MoreSeptember 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.
Read MoreNovember 4, 2016 - QB’s execution simulator is an important tool for developing and evaluating our algorithms.
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