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gammaphreak01


Total Posts: 21
Joined: May 2007
 
Posted: 2019-10-21 18:14
Contrasting the problem of creating an algorithmic market maker in OTC IRS vs e.g. FX spot is an interesting problem.

The extension from a scalar (spot FX) to a set of related rates (swap curve) seems pretty difficult.

I am imagining some concepts related to internalisation of "swap curve risk" coming into play

I suppose that market impact is something that should also make an appearance.

I am interested to brainstorm the problem, haven't found much info on the interweb and wondering if there are like minded (or similarly challenged) people on this random forum in this corner of the web who are willing to discuss.

AlexS


Total Posts: 1
Joined: Apr 2012
 
Posted: 2019-10-29 13:36


What use case do you have in mind for this IRS automated market maker? Is it an amm to complement voice trading on a swap desk at an IB (i.e. auto-quoting and RFQ pricing, auto-hedging, e-book management, etc.), or something else?

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