Predicting the volume curve depends on detailed analysis of the factors affecting the distribution of liquidity over time with the chief event being the Closing Auction.
Just like Father Christmas, we are obsessed with sharing. So a natural starting point is a quick look at how the various types of European liquidity pools have been sharing the trading volumes this year.
Mark discusses our growth and areas of interest, what is changing in the market, and what we can expect for the industry next year.
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.
As the UK gears up for another general election on July 4th, it’s worth taking a look at what this might mean for liquidity based on the patterns observed following the 2019 election.
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.
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.
