Citi Launches Pairs Trading Algorithm

New Strategy Combines a Flexible Risk Model and Multiple Execution Profiles to Deliver Enhanced Trading Results

NEW YORK--()--Citi today announced that it has added pairs trading functionality for equity securities to its suite of advanced algorithmic trading strategies. This will allow traders to execute market neutral strategies to help leverage changing market conditions by simultaneously selling and buying highly correlated securities.

The Citi’s pairs algorithm leverages a unique aggression level methodology together with other sophisticated parameters to help optimize hedging strategies. Citi Electronic Markets developed the new pairs strategy in close cooperation with leading execution management system providers, while leveraging the firm’s cutting-edge execution logic and extensive customization capabilities.

“After extensive internal testing, we are proud to bring this strategy to market,” said Tim Reilly, Head of North American Electronic Execution Sales. “This is clearly another milestone for our platform and underscores our commitment to provide clients with best-in-class self-directed trading tools.”

“Our quant team worked closely with numerous pairs traders to perfect the strategy that leverages our existing market-leading DaggerSM logic,” said Young Kang, Global Head of Algorithmic Products. “This will allow our clients to be more efficient in today’s fast-paced markets, and we are confident, based on our trial client feedback, that users will quickly realize the thoughtfulness of pairs order ticket presentation and the power of great algorithmic logic, which is so essential to pairs trading.”

Portware and ConvergEx’s RealTick® have already made the Citi pairs algorithm available in their trading platforms. Additional vendors are expected to roll out the strategy in February.

About Citi

Citi, the leading global financial services company, has approximately 200 million customer accounts and does business in more than 160 countries and jurisdictions. Citi provides consumers, corporations, governments and institutions with a broad range of financial products and services, including consumer banking and credit, corporate and investment banking, securities brokerage, transaction services, and wealth management.

Additional information may be found at www.citigroup.com | Twitter: @Citi | YouTube: www.youtube.com/citi | Blog: http://new.citi.com | Facebook: www.facebook.com/citi | LinkedIn: www.linkedin.com/company/citi

Contacts

Citigroup Inc.
Scott Helfman, +1-212-816-9241
Public Affairs, Citi Markets
scott.helfman@citi.com

Contacts

Citigroup Inc.
Scott Helfman, +1-212-816-9241
Public Affairs, Citi Markets
scott.helfman@citi.com