Author - Richard Hills

European Equities – Market Microstructure Survey Q2 2020

Our Comprehensive Review of Market Volumes, Fragmentation and Other Topics. by Richard Hills, big xyt The strange times continue. While Q1 broke all the records, Q2 came up with a few surprises. The biggest MSCI rebalance in history pushed the figures up for May, thanks to some major index...

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TRAVIS PERKINS: THE RIGHT TOOLS FOR THE JOB

by Richard Hills, big xyt Spotting volatile liquidity profiles in illiquid names. Checking liquidity data isn’t just something we need to do once a month using a summary report. It is part of the daily routine.  Every stock has its own characteristics that can change significantly and surprisingly frequently, and...

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x Days of Isolation – Day 08: Measure for Measure.

by Richard Hills, big xyt Update: April market volumes reverted to long term average levels following the record month of March 2020. ADVT traded on the order books in European equities was 47B€, compared with 44 B€ ADVT for the full year 2019. Accompanying this apparent return to normality, the proportion...

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x Days of Isolation – Day 04: Pump Up the Volume

by Richard Hills, big xyt Day 4 – Pump Up the Volume Summary It is not news to anyone that trading volumes have simply exploded this month to record levels.  We put some eye watering facts and figures on this in a historical context and look at one surprising finding; the distribution...

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