Browsing: CME Group

Posts Tagged ‘ CME Group ’

Overtrading and the Danger of Pro Rata

Jul 30th, 2015 | Filed under: Commodities, Algorithmic and high-frequency trading, Currencies, Derivatives, Forex

Guest columnist Ginger Szala looks at pro rata and what happens if...Read More


Spoofing: The ‘It’ Enforcement Action

Jun 17th, 2015 | Filed under: Algorithmic and high-frequency trading, Hedge Fund Strategies, Derivatives, Regulatory, Technology

Spoofing is probably about as ubiquitous as texting-while-driving. And it is possible to make an example of a spoofer caught red-handed. But it isn't clear what purpose that will serve. The real problem is that a broken market contains a broken set of incentives. Read More


Burr XII, Extreme Value, and a Fantasy

Sep 15th, 2014 | Filed under: Risk management, Asset allocation

The eight authors of a new study seek to add to “the existing literature of Bayesian VaR methods by … considering the … general class of Burr XII extreme value distributions “ and by estimating error bounds. After having a little fun we try to puzzle out what that means. Read More


Was Managed Futures Tackled by Turbulence? When is Volatility a Friend or Foe?

May 3rd, 2012 | Filed under: Commodities, Alpha Strategies

Kathryn Kaminski tackles the tough question of volatility and how it affects managed futures.Read More