"Quantitative Trading in the Eurodollar Futures Market" by Edith Mandel

Talk by Edith Mandel, Principal at Greenwich Street Advisors, LLC. From QuantCon NYC 2016.

Although the Fixed-Income market overall still lacks liquidity and overall transparency, the Eurodollar futures are a very liquid and accessible portion of it. Eurodollar market is defined by a set of key features: pro-rata matching, large tick size, overlapping and highly correlated set of contracts, hidden implied liquidity and sticky price quotes. We will describe methodologies suitable for dealing with the market's complexity, making the case that high-frequency market-making, alpha trading & algorithmic execution need to be linked closely to achieve continued success.

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