Interesting seminar on interest rate trends and microstructure

Posted: February 7, 2010 in Eurodollars, Microstructure, Treasuries

The seminar was sponsored by Advantage Futures and a copy of the presentation may be found here:  There are actually quite a few jewels buried in the seminar archive at Advantage Futures (

It was presented by Robert Almgren ( who has done quite extensive research on portfolio transactions and optimal trading.  I am a big fan of this presentation and wanted to share it for those that can appreciate what it means.

The fall of eurodollars or a shift to higher frequency?

I am not sure if I believe the statement on this slide….I am still undecided.

I like this and am trying to reproduce it right now for more current expirations.

And I thought this slide was very cool and showed alot about the state of risk taking by overall market participants since the events of 2007.  It appears that traders are accepting less risk in general by trading less volatile strategies.


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