Transparency of trading algorithms is a pressing issue in today’s financial markets. For example, though a dark pool may have access to a client-specific information, can it ever use that information to affect order priority or pricing in a manner not reflected in regulatory filings and marketing materials?
Many such questions are difficult (if not impossible) to answer by looking at post-trade data alone. Fortunately, recent scientific breakthroughs allow us to systematically analyse algorithms for compliance and conformance with regulatory directives and marketing materials.
Our product, Imandra, leverages latest research breakthroughs to deliver an automated formal verification solution for designing, implementing and regulating financial algorithms. Imandra reasons about precise statements concerning the behavior of trading algorithms, giving the industry and regulators unprecedented insight into what trading algorithms can and cannot do.
In this report, we illustrate Imandra’s application to the transparency of order priority and pricing within venues.
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