Thinking

  • BIVA, ready to step in as Mexico’s newest exchange, is betting that its technology will convert investors.

    Access to Mexico’s equity markets via the national exchange Bolsa de Valores (BMV) experienced several significant and disruptive infrastructure issues over the course of 2016. Highlighting the need for venue competition, local regulators are backing the creation of the Bolsa Institutional de Valores (BIVA)—an alternative venue serving domestic and international investors. BIVA is currently awaiting approval from the Ministry of Finance, expected this month, and anticipates a 3Q17 launch date. If successful, BIVA will be the first competitive exchange for LatAm markets.

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  • February 02, 2017

    Strategy tips from ITG’s Colleen Ruane & Phil Pearson

    The Tick Size Pilot Program has resulted in increased liquidity for included small-cap stocks—but that comes at a price.

    ITG’s analysis, which draws on its proprietary Global Peer database of tick pilot trading by more than 100 institutional investors, finds that trading costs since the pilot launched in October 2016 are almost 50% higher, on average, compared with the control group.

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  • The Securities and Exchange Commission has voted to adopt new rules affecting the management of liquidity risk in mutual fund portfolios. The rules are set to take effect in late 2018 for most mutual fund managers, with smaller managers (<$1B AUM) given until mid- 2019 to comply). While these regulations will impose restrictions on what assets funds can hold and in what quantities, we believe that funds which adapt appropriately to the will be rewarded with lower transaction costs and higher returns for their investors.

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  • -Which APAC markets were most affected by global events in 2016, and which had a home bias?

    -Has the addition of Shenzhen to the Stock Connect program changed trading profiles?What provoked leaps in institutional trading costs in India?

    -Which three APAC markets are reviewing short selling requirements?

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  • Fixed income execution costs are dependent on multiple, potentially nonlinear variables, so ITG has applied modern machine-learning methods to identify hidden relationships and patterns. ITG’s model shows that larger orders are less sensitive to trading volume and volatility, but that these “equity-type” characteristics explain a considerable variation in effective spread predictions as bond characteristics change.

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  • As the year draws to a close, volumes typically drop off as traders step away from their desks to spend time with friends and family. Despite the lack of liquidity, ITG Analytics finds that average trading costs in North America are actually lower by 24% in the last two weeks of the year relative to overall costs in the fourth quarter.

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  • Predictive analytics apps highlight some of ITG’s most cutting edge offerings and offer a sneak preview into the next generation of predictive modeling.

    Here are the most popular trading apps on ITG’s Analytics Incubator. Which ones have you tried?

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  • -How has the Hong Kong close auction session affected market volume profiles and end-of-day volatility?

    -Has Korea’s market hours extension resulted in more trading?

    -What has been the industry response to Hong Kong’s listing consultation and India’s algo trading review?

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  • With an election looming south of the 49th parallel and unprecedented numbers of Americans searching Canadian real estate online, we suspect that interest in Canadian market structure is approaching all-time highs. What observers will find is that the evolving Canadian market is becoming increasingly complex.

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  • With the rise of global unbundling, traders’ best-execution workload will increase dramatically, as they must develop a best-ex commission allocation scheme for all counterparties. Given so many brokers and so much noise inherent to trading, this is not just a practical concern, but an econometric one. This isn’t a new problem, but one that will become more common. Some of ITG’s clients, notably quantitative firms, are already trading exclusively for best-ex, with a history of performing TCA and judging algorithmic trading experiments. This document attempts to document some of the practices we have observed and offers some insights into how they can be used by traders at non-quantitative funds.

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