Thinking

  • The third quarter brought dramatic changes to the structure and the liquidity profile of the Canadian equity markets. Much of that change results from increasing levels of broker internalization of the smallest and most benign orders.

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  • Q3 updates to APAC Market Structure

    ​– How heavily did Top 5 index names participate in opening auctions?
    – What is the potential impact of tick size changes in Singapore?
    – How did trading costs change since last quarter across markets in Asia?

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  • The authors ask the question: How does one incorporate the benefits of portfolio optimization without disturbing the core beliefs of the fundamental manager?

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  • On 28th August 2017 the European Commission published a delegated regulation amending the definition and allowed behaviour of systematic internalisers. But what does it mean for traders?



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  • Highlights from the 2Q2017 preliminary Global Cost Review
    -Global trading costs are at an all-time low, which corresponds with the lowest volatility and spread regime we have seen in years. Costs are decreasing across market caps and across quarters regionally.  

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  • In our latest Canadian quarterly update, we take a look at the growing trend in Canadian brokers internalizing retail flows and a concerning downtrend in Canada’s share of interlisted trading volumes. Because a growing portion of Canadian retail flows are internalized, we believe it is important for institutional investors to understand the various ways this is being done, and the likely impact on market quality.

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  • In a recent poll of 80+ buy-side professionals, 37% attributed more than half of their trading cost to information leakage. It’s something that traders feel, but accurately measuring it is much more difficult. Many brokers use post-trade reversion to rank dark pool performance, but looking only at adverse selection while ignoring information leakage doesn’t give the full picture. ITG’s study of controlled measurement of information leakage in dark pools shows that dark pools with the worst information leakage have unremarkable adverse selection scores.

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  • August 01, 2017

    Stock-Specific Peer Group Analysis and its Application to Portfolio Liquidity

    We introduce an activity-based approach to trading performance comparisons, in which the common denominator is an individual security. The framework facilitates answers to three questions.

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  • Q2 updates to APAC Market Structure

    -How has Hong Kong Closing Auction volume changed since inception?
    -What percentage of China A share volume is being traded via Stock Connect?
    -What have Chinese regulators been saying about the MSCI Emerging Market Index inclusion?

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  • Major changes are underway, causing significant extra work in the short term as the industry adapts and builds solutions to help the buy side deal with their consequences. However, we think that long term, the buy side will continue to be able to access liquidity efficiently with unprecedented control over the counterparties they choose to interact with—in effect, an unbundling of liquidity sources from the aggregation of flows residing in broker pools today.

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