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We consider a broker who has to place a large order which consumes a sizable part of average daily trading volume. The broker's aim is thus to minimize execution costs he incurs from the adverse impact of his trades on market prices. By contrast to the previous literature, see, e.g., Obizhaeva and Wang (2005), Predoiu, Shaikhet, and Shreve (2011), we allow the liquidity parameters of market depth and resilience to va…
Generative AI coding tools have lowered the cost of writing trading software, but no systematic dataset records when these services fail. We introduce the AI Incident and Disruption Archive (AIDA), a multi-vendor registry of 5,868 deduplicated outage incidents across 30 providers from 2025 to 2026, with foundation-model incidents verified against primary status-page or postmortem URLs. Pairing AIDA with 5,041,034 ver…
Gradient descent updates parameters against the gradient of a loss: θ ← θ − η ∇_θ L. Stochastic and mini-batch variants make the method tractable on large datasets.
Too big to fail is the expectation that a firm’s collapse would force a public rescue — a subsidy in funding spreads and a policy problem.
Copper price is widely used as a proxy for industrial activity, manufacturing demand, and global growth expectations.
Grains and oilseeds — corn, soy, wheat, and their products — where weather, USDA prints, and harvest calendars sit on top of generic trend.
A CTA whose signals come from ML (trees, nets, representations) rather than a hand-written MA — still a futures risk engine underneath.
Enter on a trend signal, then trail a stop at k × ATR behind the favorable extreme — Wilder volatility as the exit engine.
Size each new futures position so that 1 ATR move equals a fixed fraction of equity — the Turtle risk unit, still the cleanest per-trade language.
A systematic book that targets documented investor behaviors — stops, anchoring, month-end flows — rather than a generic trend equation.
A CTA is a manager — often CFTC/NFA registered — that runs client money in futures and options on futures, long and short, across rates, FX, equities, and commodities.
A CTA that tries to pick turns — anticipatory shorts of highs and buys of lows — the opposite personality of a breakout shop.
Refinery margin: long gasoline and distillate, short crude, in a stated ratio — energy RV rather than a WTI call.
Crisis alpha is return earned from persistent trends that form after a market crisis starts — not a prediction of the crash day, and not a put that pays on a two-day dip.
Rank futures on trailing return and hold winners vs losers — relative momentum inside a CTA universe, not each market’s own sign.
Trend and carry on BTC/ETH (and maybe a few alts) using listed or crypto-native perps — a young sleeve with 24/7 gaps and funding.
Harvest roll-down and yield carry in bond and STIR futures — a rates-specific premia book that can fight the trend sleeve in a hiking cycle.
Trade nearby versus deferred on the same curve — a pure term-structure book, the smallest-beta cousin of commodity RV.
How much money a program can run before it is the market — position limits, ADV caps, and the point where adding AUM only buys slippage.
Inside a managed-futures book, overweight backwardated contracts and underweight contango — roll yield as a second family next to price trend.
Shrink size when markets are moving together so that ‘20 commodities’ are not one energy-risk factor wearing 20 tickers.
The live tax on a systematic futures book — impact, roll, and the fact that the signal is correlated with everyone else’s signal.
A CTA FoF allocates across managed-futures programs — usually via managed accounts — to mix speeds, styles, and managers.
Which expiry you hold and when you roll is a first-class P&L — not an operations footnote — especially in commodities and VIX.
The standard G10/EM carry trade run as a vol-targeted futures/forward sleeve beside FX trend — coupon versus crash.
Gross is the sum of |positions|; net is the signed residual — in a CTA both move with signal agreement, unlike a 130/30 that is always ~100 net.
Whether the program treats shorts with the same rules and risk as longs — the difference between a two-way CTA and a long-biased TAA in a futures wrapper.
Client money in a futures account the CTA trades by POA — transparency, better liquidation, and operational work versus a commingled fund.
Fade stretched moves in futures over short horizons — the anti-trend sleeve that makes money in ranges and loses when a crisis trend persists.
A CTA that is structurally short implied volatility — harvesting VRP with futures options, and owning a jump left tail.
Express views with listed options on futures — defined-risk directional, calendars, or vol — still a CTA if the underlying is a commodity interest.
Add units as the trend extends — more risk on a working trade — instead of a single full-size entry.
Market-neutral futures spreads — calendar, inter-commodity, or intra-curve — a CTA that tries not to own outright direction.
A listed product that tries to match SG Trend-like returns with a small liquid futures set — cheap access, incomplete universe, visible crowding.
When too many trend books own the same contract the same way, entries get worse, exits gap, and ‘the CTA unwind’ becomes a flow event.
The core CTA recipe: in each futures market, go long if the trend is up and short if it is down, size by volatility, and let the stop or the signal flip you out.
Scale the whole book (or each market) so forecast σ hits a target — the reason a 15% vol CTA is not ‘more leveraged crude’ in a quiet month.
Whipsaw is the range-bound regime where trend signals flip, scratch, and bleed — the ordinary cost of owning tail convexity.
The 2s10s Treasury curve measures the spread between 10-year and 2-year Treasury yields and is a key indicator of growth expectations, policy path, and term structure dynamics.
Grains and oilseeds — corn, soy, wheat, and their products — where weather, USDA prints, and harvest calendars sit on top of generic trend.
A CTA whose signals come from ML (trees, nets, representations) rather than a hand-written MA — still a futures risk engine underneath.
Enter on a trend signal, then trail a stop at k × ATR behind the favorable extreme — Wilder volatility as the exit engine.
Size each new futures position so that 1 ATR move equals a fixed fraction of equity — the Turtle risk unit, still the cleanest per-trade language.
A systematic book that targets documented investor behaviors — stops, anchoring, month-end flows — rather than a generic trend equation.
A CTA is a manager — often CFTC/NFA registered — that runs client money in futures and options on futures, long and short, across rates, FX, equities, and commodities.
Consumer Confidence Index — Household expectations that influence spending, labor supply, and political pressure on policy.
A CTA that tries to pick turns — anticipatory shorts of highs and buys of lows — the opposite personality of a breakout shop.
Copper price is widely used as a proxy for industrial activity, manufacturing demand, and global growth expectations.
Refinery margin: long gasoline and distillate, short crude, in a stated ratio — energy RV rather than a WTI call.
Crisis alpha is return earned from persistent trends that form after a market crisis starts — not a prediction of the crash day, and not a put that pays on a two-day dip.
Rank futures on trailing return and hold winners vs losers — relative momentum inside a CTA universe, not each market’s own sign.
Trend and carry on BTC/ETH (and maybe a few alts) using listed or crypto-native perps — a young sleeve with 24/7 gaps and funding.
Harvest roll-down and yield carry in bond and STIR futures — a rates-specific premia book that can fight the trend sleeve in a hiking cycle.
Trade nearby versus deferred on the same curve — a pure term-structure book, the smallest-beta cousin of commodity RV.
How much money a program can run before it is the market — position limits, ADV caps, and the point where adding AUM only buys slippage.
Inside a managed-futures book, overweight backwardated contracts and underweight contango — roll yield as a second family next to price trend.
Shrink size when markets are moving together so that ‘20 commodities’ are not one energy-risk factor wearing 20 tickers.
The live tax on a systematic futures book — impact, roll, and the fact that the signal is correlated with everyone else’s signal.
A CTA FoF allocates across managed-futures programs — usually via managed accounts — to mix speeds, styles, and managers.
Which expiry you hold and when you roll is a first-class P&L — not an operations footnote — especially in commodities and VIX.
The standard G10/EM carry trade run as a vol-targeted futures/forward sleeve beside FX trend — coupon versus crash.
Gross is the sum of |positions|; net is the signed residual — in a CTA both move with signal agreement, unlike a 130/30 that is always ~100 net.