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French bank deploys skew sensitivity algo to help identify predatory behaviour
BNP Paribas has been taking the fight against the abuse of skews to a new level, putting out a mix of random skews and using artificial intelligence (AI) to dynamically identify bad actors that they can cut off from future beneficial pricing.
Information around pricing skews is precious to liquidity providers. When a dealer is axed to trade a particular side of a currency, it may skew its pricing – that is, move either the bid or the offer closer to the market’s mid – to make it more appealing.
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