Algorithmic Execution in Fixed Income Markets

This lecture by the instructor focuses on algorithmic execution in fixed income markets, emphasizing the transition to electronic trading and the importance of developing effective algorithms to achieve good execution. The talk covers the significance of agency execution, the role of algorithms in electronic markets, and the challenges and solutions in developing and testing execution algorithms. The instructor also discusses the use of a market simulator to improve algorithms, the impact of size on performance, and the key features of interest rate products compared to equities. The lecture concludes with insights on market impact modeling and the essential role of simulators in algorithm development.