Algos to blame for 2015 Swiss volatility

Bank of England staff paper analyses Swiss franc event of January 2015 and concludes algorithms were consumers of liquidity overall

People impact: while algos raised market volatility on January 15, 2015, human traders added liquidity at lower spreads 

The use of foreign exchange algorithms was responsible for the deterioration of liquidity provision in the market when the Swiss National Bank (SNB) removed the exchange rate floor in EUR/CHF on January 15, 2015, outlines a Bank of England (BoE) staff working paper titled Judgement Day: algorithmic trading around the Swiss franc cap removal.

The paper reveals that during the disruptive market event, algo traders intensified volatility in the pair by withdrawing liquidity from the market and

To continue reading...

You need to sign in to use this feature. If you don’t have a FX Week account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: