Thought Leadership

Our experts monitor the latest industry developments, engage in current debates, and offer ongoing analysis so we’re prepared to offer guidance and unique insights to the investment community. Browse through our papers to read research and perspectives from some of the industry’s foremost thought leaders.

February 7, 2013
Pairs Trading Algorithms in Equities Markets
Di Wu, Vice President, Algorithmic Trading
Kenny Doerr, Director,Electronic Trading Desk
Cindy Y. Yang, Quantitative Analyst, Algorithmic Trading
January 15, 2013
TCA – No Argument?
Jim Cochrane, Director, Analytics
November 19, 2012
Dark Liquidity Aggregation State of Play
Jamie Selway, Managing Director Liquidity Management
Philip Pearson, VP Liquidity Management
November 7, 2012
Trading Around the Close
Jeff Bacidore, Head of Algorithmic Trading
Ben Polidore, Director, Algorithmic Trading
Wenjie Xu, Quantitative Analyst, Algorithmic Trading
Cindy Y. Yang, Quantitative Analyst, Algorithmic Trading
July 31, 2012
Algorithmic Portfolio Trading: A Primer
Di Wu, Vice President, Algorithmic Trading; Wenjie Xu, Quantitative Analyst, Algorithmic Trading
July 2, 2012
Cluster Analysis for Evaluating Trading Strategies
As published in the Journal of Trading
Jeff Bacidore, Managing Director, Head of Algorithms; Kathryn Berkow, Quantitative Analyst, Algorithmic Trading; Ben Polidore, Director, Algorithmic Trading; Nigam Saraiya, Vice President, Algorithmic Trading
June 15, 2012
Create or Buy: A Comparative Analysis of Liquidity And Transaction Costs For Selected U.S. ETFs
Milan Borkovec, Managing Director, Head of Financial Engineering; Vitaly Serbin, Manager of Financial Engineering’s Portfolio Analytics Research Group
June 14, 2012
Alpha-Optimized Trading Schedules: Identifying Own Price Impact in Realized Returns
Milan Borkovec, Managing Director, Head of Financial Engineering; Laura Tuttle, Manager of Financial Engineering’s Algorithmic Trading Research; Konstantin Tyurin, Manager of Financial Engineering’s Post-Trade Analytics; Zhaoyang Zhao, Researcher
January 20, 2012
Dark Pool DNA: Improving Dark Pool Assessment
As published in The Journal of Trading
Ben Polidore, CFA, Director, Algorithmic Trading,
January 1, 2012
Inside the Opening Auction
As published in The Journal of Trading
Kathryn Berkow, Quantitative Analyst, Algorithmic Trading; Jeff Bacidore, Managing Director, Head of Algorithms; James Wong, Director, Algorithmic Trading
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