Societe Generale, the French investment bank, says that its new “relative value” algorithm will give fund managers the ability to change their participation to a stock’s performance relative to an underlying index.

The new algorithm, which the bank says is available on most trading platforms and through a FIX engine, can notify fund managers when a stock price does not follow the performance of its underlying index. That information will allow SocGen’s clients to increase or decrease their participation. The

In a terse statement issued on Tuesday, SocGen says that the new “relative value” algorithm is part of an overall strategy to provide investors with a diverse range of algorithms driven by short term price movements.

In August, Société Générale introduced Eclipse, a new liquidity-seeking algorithm, which analyzes the quality of liquidity that can be found in dark and lit pools such as multilateral trading facilities, exchanges and broker-owned crossing engines.

To do so, SocGen will become a client of the brokers whose pools it wants to access.

-- This article first appeared on Securities Technology Monitor.

 

 

Register or login for access to this item and much more

All On Wall Street content is archived after seven days.

Community members receive:
  • All recent and archived articles
  • Conference offers and updates
  • A full menu of enewsletter options
  • Web seminars, white papers, ebooks

Don't have an account? Register for Free Unlimited Access