As global currency markets grapple with a growing number of flash crashes trigge...
ZURICH - As global currency markets grapple with a growing number of flash crashes triggered by shutdowns in algorithmic trading systems when volatility spikes, UBS is utilizing machine learning technology to carry on dealing.
UBS’s ORCA-Direct learns in real time, utilizing historical trading data to find the bank’s clients the best available liquidity when volatility rises. JP Morgan, which also reported double-digit growth in its algorithmic trading business in recent months, has released a new machine learning algorithm, and Citibank is another top player in electronic currency trading.ORCA’s machine learning enables the algorithm to determine within microseconds the best platforms and execution sequence to use, estimating the probability of trading and market impact for each specific order and reducing costs for the bank’s clients.
“What is unique about ORCA is the machine learning we put into it,” said Chris Purves, head of the bank’s FRC Strategic Development Lab. “Clients...can see their executions improving, they can see their fill rates improving.”
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