Papers by Jamie Walton
Whitepaper, 2020
We propose a new benchmark for FX which we call SIREN. This benchmark is designed to be a fair be... more We propose a new benchmark for FX which we call SIREN. This benchmark is designed to be a fair benchmark to use for settling large FX transactions and an alternative to the WMR Fix which has been the subject of recent FX controversies. We argue that FX fixing issues have arisen because the fix neglects to reflect how FX is traded in large volumes leading to collusion between market-makers and potential front-running to reduce trading risk. SIREN uses the concept of optimal execution to both reflect the risk of trading larger notionals and to spread out the trading activity around the benchmark. In addition, the SIREN benchmark is calculated over a longer window allowing the market to better absorb the volume traded against the benchmark. We believe this approach improves results for both the buy-side and the sell-side. This whitepaper will first look at existing benchmarks and associated issues before discussing optimal execution and explaining the SIREN methodology. We graphically compare the various benchmarks before investigating real-world effects using a case study of over 3000 fixing trades executed by a pension fund.
Mathematics and Financial Economics, 2018
Abstract We examine the Foreign exchange (FX) spot price spreads with and without Last
Look on th... more Abstract We examine the Foreign exchange (FX) spot price spreads with and without Last
Look on the transaction. We assume that brokers are risk-neutral and they quote spreads so
that losses to latency arbitrageurs are recovered from other traders in the FX market. These
losses are reduced if the broker can reject, ex-post, loss-making trades by enforcing the Last
Look option which is a feature of some trading venues in FX markets. For a given rejection
threshold the risk-neutral broker quotes a spread to the market so that her expected profits
are zero. When there is only one venue, we find that the Last Look option reduces quoted
spreads. If there are two venueswe showthat the market reaches an equilibrium where traders
have no incentive to migrate. The equilibrium can be reached with both venues coexisting,
or with only one venue surviving. Moreover, when one venue enforces Last Look and theother one does not, counterintuitively, it may be the case that the Last Look venue quotes
larger spreads.
Keywords Last Look · Foreign exchange · Latency arbitrage · Spamming · Spraying · Stale
quotes · Algorithmic trading · Low latency traders · High-frequency trading
Mathematika, 2000
ABSTRACT §0. Introduction. Low-dimensional topology is dominated by the fundamental group. Howeve... more ABSTRACT §0. Introduction. Low-dimensional topology is dominated by the fundamental group. However, since every finitely presented group is the fundamental group of some closed 4-manifold, it is often stated that the effective influence of π1 ends in dimension three. This is not quite true, however, and there are some interesting border disputes. In this paper, we show that, by imposing the extra condition of parallelizability on the tangent bundle, the dominion of π1 is extended by an extra dimension.(Received November 05 1998)
Thesis Chapters by Jamie Walton
UCL PhD thesis, 1997
The aim of this thesis is to consider how far results from the theory of surfaces can be extended... more The aim of this thesis is to consider how far results from the theory of surfaces can be extended to theorems concerning surface fibrations. The researched was initially motivated by an attempt to generalise the Baer- Nielsen theorem on mapping class groups of surfaces and Harer’s theorem which calculated the virtual cohomological dimension of the mapping class group of an orientable surface.
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Papers by Jamie Walton
Look on the transaction. We assume that brokers are risk-neutral and they quote spreads so
that losses to latency arbitrageurs are recovered from other traders in the FX market. These
losses are reduced if the broker can reject, ex-post, loss-making trades by enforcing the Last
Look option which is a feature of some trading venues in FX markets. For a given rejection
threshold the risk-neutral broker quotes a spread to the market so that her expected profits
are zero. When there is only one venue, we find that the Last Look option reduces quoted
spreads. If there are two venueswe showthat the market reaches an equilibrium where traders
have no incentive to migrate. The equilibrium can be reached with both venues coexisting,
or with only one venue surviving. Moreover, when one venue enforces Last Look and theother one does not, counterintuitively, it may be the case that the Last Look venue quotes
larger spreads.
Keywords Last Look · Foreign exchange · Latency arbitrage · Spamming · Spraying · Stale
quotes · Algorithmic trading · Low latency traders · High-frequency trading
Thesis Chapters by Jamie Walton
Look on the transaction. We assume that brokers are risk-neutral and they quote spreads so
that losses to latency arbitrageurs are recovered from other traders in the FX market. These
losses are reduced if the broker can reject, ex-post, loss-making trades by enforcing the Last
Look option which is a feature of some trading venues in FX markets. For a given rejection
threshold the risk-neutral broker quotes a spread to the market so that her expected profits
are zero. When there is only one venue, we find that the Last Look option reduces quoted
spreads. If there are two venueswe showthat the market reaches an equilibrium where traders
have no incentive to migrate. The equilibrium can be reached with both venues coexisting,
or with only one venue surviving. Moreover, when one venue enforces Last Look and theother one does not, counterintuitively, it may be the case that the Last Look venue quotes
larger spreads.
Keywords Last Look · Foreign exchange · Latency arbitrage · Spamming · Spraying · Stale
quotes · Algorithmic trading · Low latency traders · High-frequency trading