derivatives

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The derivatives market undergoes transformation as it moves closer to the exchange

On the regulatory front, a handful of new policies are set to affect the options market and will likely enhance transparency, execution, and market data. Meanwhile, the cash equities business has hit a level of maturity and we are now trending toward better tools for block crossing and less resource intensive methods of trading.

foreign exchange

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Examining the WM/Reuters London Close through the Prism of Foreign Exchange Transaction Cost Analysis

Please find this article referenced in the Wall Street Journal.

Responding to many client requests, the FX team at ITG Analytics reviewed trade data surrounding the WM/Reuters London Closing Spot Rate Service (“the fix”). By observing the factors that influence trading costs using ITG TCA® for FX’s rich quote data we found trade patterns that were unique. Consistent with academic literature1,we show that volume and volatility around the fix spikes and the spread costs tighten temporarily. In addition, we see mean reversion of the FX rates on days when there is substantial price pressure shortly prior to the fix. Our analysis does not prove the allegations of manipulation brought about by some market participants.

european markets

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Examining the WM/Reuters London Close through the Prism of Foreign Exchange Transaction Cost Analysis

Please find this article referenced in the Wall Street Journal. Responding to many client requests, the FX team at ITG Analytics reviewed trade data surrounding the WM/Reuters London Closing Spot Rate Service (“the fix”). By observing the factors that influence…
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asia pacific markets

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How Analytics Can Help Make the Most Out of Asian Liquidity

The term ‘TCA’ has now become so common across the industry, and some would argue commoditized, that its value is in danger of becoming misunderstood. While most buyside firms use some form of broker post-trade analysis to measure how they’ve performed against their benchmark, the firms who are out-performing versus their peers are using a broader approach of pre-trade, real time and post-trade analytics to answer questions about how and why trading costs are incurred, and what actions can be taken to reduce them.

canadian markets

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Canadian Order Flow Trends, Q3-2013: What’s The Value of Your Market Data?

Our analysis of Canadian equities order flow this quarter indicate that HFT activity has scaled back slightly:  total order flow reduced, Order-to-Trade ratio decreased, Volume Traded-to-Order ratio increased, and the rate of order activity has slowed down. We also add to the debate over the cost of real-time market data – we describe an objective method to intrinsically value market data using three core factors.  How much should market data be valued?