Machine learning is not just for the buy side - Risk.net

The most common application being researched for machine learning is optimal execution. When large trades are executed in the market, it could potentially push prices in an unfavourable direction, so it makes sense that traders are keen on optimising this cost. So far, most of the interest in applying machine learning technology to reduce trading costs has been from the buy side. However, recent research by quants from Standard Chartered shows this may be about to change. In this month's first technical, Evolutionary algos for optimising MVA, Alexei Kondratyev, a managing director at Standard Chartered in London, and George Giorgidze a senior quantitative developer in the strats team within the same bank, propose machine learning techniques to optimise initial margin costs through trade selection.