Author - Mark Montgomery

Liquidity Intelligence – Understanding the nature of liquidity

by Khalil Dayri, big xyt Understanding the nature of liquidity We know that trading behaviour, microstructure and liquidity all vary significantly between venues and across individual stocks. Understanding these differences has become a very important prerequisite to any market participant. Armed with this knowledge, traders can substantially reduce their execution costs,...

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x Days of Isolation – Day 11: SpaceX for Stocks

by Mark Montgomery, big xyt Day 11 – SpaceX for Stocks Some of you may have been straining your eyes looking at the night sky during the recent SpaceX launch. The image above isn't a photographic negative image of heavenly bodies, it is actually a scatterplot of multiple European stocks. The...

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x Days of Isolation – Day 10: Auction Action

by Mark Montgomery, big xyt Day 10 – Auction Action Turnover of equities including ETFs in closing auctions reached record levels on Friday. The volumes were higher than any other day during the past 12 months (including all expiry dates and rebalancing dates). 40B€ total closing notional (incl. ETFs) was reported...

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x Days of Isolation – Day 05: Attack of the CLOBs

by Mark Montgomery, big xyt Day 5 – Attack of the CLOBs Update: Following our first post in this series, a number of people have asked if the trend we observed has continued over subsequent days. The ingredients are consistent - uncertainty, volatile markets, and unpredictable liquidity leading to opportunity cost with other...

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