Read to gain insight from ITG perspectives and proprietary research on best practices in trading and portfolio analytics.
Crossing systems, now often called ‘dark pools,’ were early developments in the evolution of electronic trade execution. Investment Technology Group’s (ITG) POSIT® system, for example, came on the scene as early as 1986. Although POSIT’s list trading mechanism is highly sophisticated, the basic mechanics behind single stock crossing are simple and easily understood.
Uncertainty surrounding the European sovereign debt crisis and anemic economic recovery motivated marked asset re-allocation in January 2012. ITG's Jacqueline King discusses this shift in trade flows.
Jacqueline King examines trading characteristics of the Russell indices in the 30-day period surrounding June’s reconstitution.
Responding to many client requests, the FX team at ITG Analytics reviewed trade data surrounding the WM/Reuters London Closing Spot Rate Service (“the fix”). By observing the factors that influence trading costs using ITG TCA® for FX’s rich quote data we found trade patterns that were unique.
TCA providers must communicate better, but they need help from their constituents. To this end, we applaud the efforts of FIX Protocol groups, led by Mike Caffi of State Street Global Advisors and Mike Napper, from Credit Suisse. They recognize...
The seminal paper by Harry Markowitz (1952) laid the foundation of modern quantitative finance theory and has shaped the quantitative investment process well into the 21st century. While elegant and well-rooted in economic theory, the original formulation of the return maximization problem can provide unintuitive results if used naively.
This study represents the first performance analysis of European venues since the implementation of MiFID. Alternative trading markets are found to add value relative to primary markets, lowering trading transaction costs.
The European securities regulators are currently reviewing the impact that their MiFID regulations have had in the marketplace, and have invited proposals to address a number of issues ranging from the standardisation of OTC derivatives to post-trade transparency standards and the consolidated tape.
Dark pools are on the global regulatory stage. The European Parliament considers recommendations for new dark pool regulation, similar to those issued by the Committee of European Securities Regulators. They in turn advise the European Commission, as Europe heads towards MiFID II. The Australian Securities and Investments Commission issued a report in November, addressing crossing systems.
ITG’s team of experts survey 48 respondents in Europe to better understand perceptions and realities related to TCA usage.