Quantcast – a Risk.net Cutting Edge podcast cover image

Quantcast – a Risk.net Cutting Edge podcast

Barzykin and Guéant – 28/03/23

Mar 28, 2023
45:40

Podcast summary created with Snipd AI

Quick takeaways

  • New approach in FX marketmaking integrates interbank trading, offering certainty in execution with potential transaction costs.
  • Collaboration between academics and practitioners in FX marketmaking research bridges practical relevance with academic rigor, exploring dynamic state variable adjustments and adverse selection management.

Deep dives

Overview of FX Marketmaking Challenges

Marketmaking in the FX industry involves addressing practical problems unique to the institutional market, combining over-the-counter dealer-to-client and interbank segments. This complexity necessitates specific considerations, as existing models often solely focus on setting quotes. In contrast, the new approach integrates interbank trading with dealer-to-client segments, offering certainty in execution but with potential transaction costs and market impacts.

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