Machine Learning a 'Game Changer' in ITG Algo - Markets Media

Duncan Higgins, head of electronic products at ITG, said using a machine learning approach in the broker's implementation shortfall algorithm in the US has been a'game changer'. Higgins told Markets Media that the industry needs to finish with MiFID II changes and move to business as usual, with reinvestment in algorithms and infrastructure. MiFID II regulations went live in the European Union at the start of this year after a multi-year investment and implementation process. He added that ITG has a big program of work including changing its implementation shortfall algorithm to use a machine learning approach. "The algo is much less constrained in its decision making and uses the state of the market and past experience to decide on the best approach to execute an order, determining how much and how to trade across lit and dark markets and auctions," said Higgins.