Algos: choosing the right horse for the right course

Liquidity and volatility regimes play big role in performance, BestX quants show

Algo abstract
FX algos: in a world of low returns, a potential saving of more than 2.5bp is significant

In the world of foreign exchange algorithms, received wisdom is that aggressive strategies are fast, but have more market impact and hence cost more, and passive strategies are the opposite.

But, of course, it’s not that simple. 

According to BestX research, depending on the combination of volatility and liquidity regimes, choosing the right horse for the right course can result in drastic differences in performance.

We broadly class algos into four categories (see table B), but for this

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