The Flash Rally - What You Learned From That Rally?

A native Australian, Christian Hauff capitalized on the financial crisis to co-found Quantitative Brokers with Robert Almgren in 2009. After working together on the development of agency algorithmic technology in equities and equity options, Christian and Rob saw an opportunity to apply some of that IP to the world of fixed income, where no such solutions existed at the time. Christian describes the “trader’s dilemma”, a challenge that every investor faces in whether to execute a desired trade instantaneously or to work this order over a period of time. He explains how his firm’s algorithms help its clients optimize this trade-off to minimize slippage and reduce their implementation short-fall. Our conversation provides insights on the early days of QB, where countless hours were spent in the lab studying the “rule book” of Eurodollar futures to better understand micro-structure mechanics that underpin Algo execution strategies. We also talk about research at QB, including its deep-dive into the Treasury Flash Rally of October 2014 and the VIX spike in February 2018. Lastly, Christian shares his views on the future of agency electronic execution including the trend toward more robust transaction cost analysis, improved access to more markets such as FX and centralized clearing. I hope you enjoy this episode of the Alpha Exchange, my wide-ranging conversation with Christian Hauff.