FX algo performance during the COVID-19 crisis

The beginning of 2020 witnessed a significant increase in volatility compared to 2019, which was relatively calm. With the onset of the COVID-19 crisis, we observed unprecedented volatilities throughout March 2020. One theme of research at BestX has been modelling intraday regimes in financial markets, focusing on liquidity and volatility regimes. One of the objectives of this research is to assist with execution decision making, of which the choice of algo can be a key determinant in achieving best execution. The beginning of 2020 witnessed a significant increase in volatility compared to 2019, which was relatively calm. With the onset of the COVID-19 crisis, we observed unprecedented volatilities throughout March 2020. One theme of research at BestX has been modelling intraday regimes in financial markets, focusing on liquidity and volatility regimes. One of the objectives of this research is to assist with execution decision making, of which the choice of algo can be a key determinant in achieving best execution.

The beginning of 2020 witnessed a significant increase in volatility compared to 2019, which was relatively calm. With the onset of the COVID-19 crisis, we observed unprecedented volatilities throughout March 2020. One theme of research at BestX has been modelling intraday regimes in financial markets, focusing on liquidity and volatility regimes. One of the objectives of this research is to assist with execution decision making, of which the choice of algo can be a key determinant in achieving best execution.