In your home, who grumpily collects and disposes of the wrapping paper after all the presents have been opened? I must admit my OCDness does put me in this category.
What is the big xyt link from Paddington to the importance of data analytics? The Paddington producer is none other than Canal Plus, spun out of Vivendi to list on the LSE only just yesterday.
You really should sell, you’d better not buy, you ought to be short, I’m telling you why, VWAP Crossing’s coming to town.
Fragmentation comes in different forms which makes filtering the data an endless source of entertaining insights and relevant information for those who care about this sort of thing.
Last year we observed how mid spread executions at the time of an RFQ execution did not tell the whole story about best price during a longer ‘execution window’. Using the xyt lab we applied the same logic to other mechanisms to establish if there are other questions traders should be asking when performing execution analysis to optimise their transaction costs.
Friday saw a significant increase in stock market activity as a result of the MSCI rebalance. A quarterly event when certain stocks are promoted or relegated between index groups.
OTC reported equity volumes have been growing steadily since MiFID II. The result was less transparency for a larger portion of the market. Our measure of non addressable volumes grew from less than 10% of reported pan European equity turnover before 2018 to around 33% in February this year.
The fresh thinking of ambitious new interns is a great way for any FinTech to keep innovating. Little did we know that our latest recruits would be paving the way for a new take on AI, ML and LLM.
Market participants can use a clever technique to avoid arguments over equity and impartiality by applying a well recognised and altruistic benchmark called the Value Weighted Average Price (VWAP).
In equity markets, the task of identifying the difference between addressable and accessible liquidity, and what isn’t, is becoming an increasingly significant challenge.
