We study the impact of algorithmic trading in the foreign exchange market using a long time series of high-frequency data that specifically identifies computer-generated trading activity. Using both a reduced-form and a structural estimation, we find clear evidence that algorithmic trading...

Portfolio optimisation for a Fund of Hedge Funds (“FoHF”) has to address the asymmetric, non-Gaussian nature of the underlying returns distributions. Furthermore, the objective functions and constraints are not necessarily convex or even smooth. Therefore traditional portfolio optimisation...