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...
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...
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,...
Final Day of Isolation – Day 12: Rolls-Royce at a discount? Never!
by Mark Montgomery, big xyt Day 12 – Rolls-Royce at a discount? Never! It seems like a good time to leave the days of isolation behind us but fear not, our observations will continue this week. Following on from our previous post, we promised to take a closer look at one...
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...
European Equities – Market Microstructure Survey Q2 2020 May Update
May market volumes and fragmentation return to normal, but that is not the full story. by Richard Hills, big xyt May could almost be described as uneventful in that volumes and market share seem to have reverted to business as usual. A quick look at some market quality metrics tells us...
PRESS RELEASE – Societe Generale Luxembourg goes live with big xyt’s TCA platform for Advanced Execution Analytics
Selected by the European financial group to showcase execution quality for their clients London, Luxembourg, 9th June 2020 – big xyt, the independent provider of market data analytics, is pleased to announce that Societe Generale Luxembourg, the multi specialist bank, has implemented their award-winning Execution Analytics to provide sophisticated trading...
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...
