Société Générale Corporate and Investment Banking
Strategies
Strategies include Eclipse, a liquidity seeking
algo, benchmark strategies comprising VWAP, TWAP and implementation shortfall,
participation strategies and tactical/point in time strategies includes peg, at
open and at close.
Key functionality
The firm offers a signals-based execution model
which incorporates statistical and fundamental signals. Around 35 signals are
used with relative weighting rebalanced over time and depending on the algorithm.
Signals are driven by stock but also factors like sector future and imbalance
signals (mid-price prediction), auto-correlation signals (fair value and
relative value), liquidity signals (volatility and spread prediction) and trade
difficulty signals (market impact).
Support
Using signals-based execution results, SocGen can
customise behaviour based on the objectives of a specific client. Using pre-
and post-trade the bank is able to deliver opportunities for improved client
execution performance.
Access
Access is afforded via all major order and
execution management system, or via a direct FIX connection.
Routing
SocGen has developed a proprietary measure to
differentiate between venues in terms of quality, QVM, a key factor in dynamic
venue selection and assessing the value of new venues. The firm also manages
multi-venue posting based on probability of execution including unique factors
such as queue size and optimal depth.
The firm is connected to a range of lit and dark European
venues, including all developed and emerging domestic markets and a range of
alternative venues.
Future plans
SocGen plans to further develop its signals model,
with an increasing focus on fundamental signals to compliment statistical
signals. The bank is also focused on providing a creative approach to sourcing
liquidity by accessing differentiated venues that represent incremental
opportunities to cross flow rather than simply adding venues which fragment
liquidity further.