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Read to gain insight from ITG perspectives and proprietary research on best practices in trading and portfolio analytics.

Cul de Sacs Revisited: Dark Aggregation, Lit Markets, and the Cost of Duration

December 2, 2014

We demonstrate links between order duration, dark pool performance, and orders filled in both lit and dark venues. Five questions are addressed. Does exposure of an order to lit markets affect trading performance in dark aggregation schemes?

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The Theory of Everything – and TCA

February 18, 2015

The current Oscar-nominated movie The Theory of Everything has its lead character Stephen Hawking laying out his vision of a single equation that explains all physical aspects of the universe. The scientist explains in lay terms the two broad areas...
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Introducing ITG's Pre-Trade Smart Cost Estimator

September 1, 2011

We present results of an exploratory study of ITG’s Peer Group data and demonstrate how empirical regularities from actual execution records of large institutional orders are reflected in the new Smart Cost Estimator (SCE) developed by ITG.

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ITG Dynamic Daily Risk Model for Europe

December 1, 2010

Traditionally, risk models have been used for risk measurement and decomposition during the portfolio construction stage. Since the typical holding period of an institutional portfolio is measured in months and even years, earlier risk models were constructed using monthly returns and several years of historical data.

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Garbage In, Garbage Out: An Optical Tour of the Role of Strategy in Venue Analysis

October 26, 2014

We address a single question in this paper: is consideration of trading strategy an essential component in assessing venue performance? The answer is, yes. We arrive at this conclusion through comparisons of strategy use across venues and performance metrics, by venue…

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Where Risk Control Meets Cost Control in Analytics Development*

March 1, 2004

In a portfolio transition, cost-minimizing trading strategies may have the unintended consequence of increasing risk along several dimensions. On the other hand, strategies designed to mitigate risk can involve unacceptable levels of cost, may be sub-optimal once transaction costs are taken into account, or may simply be infeasible.

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VWAP Strategies

April 21, 2002

It is common to evaluate the performance of traders by their ability to execute orders at prices better than the volumeweighted average price (VWAP) over the trading horizon. Berkowitz, Logue, and Noser [1988] regard the VWAP benchmark as a good approximation of the price for a passive trader.

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The past and future of TCA and best execution

January 1, 2011

In 2000, ITG published The Transaction Cost Challenge, a discussion motivated by efforts of the Securities and Exchange Commission to define “best execution”1 and one that highlighted practical issues surrounding transaction cost analysis.

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Trading Intelligently

March 29, 2005

Investment managers seeking a competitive advantage in today’s fast-moving equity markets look for insights into far more than simply stock performance and historical trading data. But getting the right information into the right hands at the right time can be a daunting task.

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Preliminary Russell Analysis

December 29, 2012

With this year’s Russell Reconstitution just a week past, we analyzed the trading characteristic of Russell adds and deletes to provide color on the reconstitution and the two days surrounding the event.

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