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

Volatility and Trading Costs - A Look at Market Condition Surprises

May 11, 2011

It is important to be aware of changes in intraday volatility, not only in absolute terms, but also relative to the market expectations generated by historical norms and used in many trading models. Awareness of these shifts in market conditions can allow the trader to adapt and change strategies to reduce trading costs.

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Trading Patterns, Liquidity, and the Citigroup Split

May 16, 2011

On May 9, 2011, the shares of Citigroup experienced a reverse split, converting ten shares into one with a nominal ten-fold increase in price per share. Reverse splits are rare events, especially for large capitalization stocks. The publicly available analysis of splits in general concentrates on return characteristics over relatively long horizons.

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Algorithmic Trading Usage Patterns and their Costs

May 19, 2011

Using algorithmic trading data across seven strategy types over 2009 and 2010, we examine usage patterns and performance for a sample of buy-side firms served by a multiplicity of brokers.

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TCA Turns a Corner

August 17, 2011

Following a recent report on TCA published by Greenwich Associates, Ian Domowitz discusses trends in the growing use of TCA and the direction we might be headed.

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Lifting the Veil From ETF Liquidity What you need to know to appreciate what you see

May 16, 2012

Exchange-traded funds (ETFs) are relatively new investment tools that are similar to mutual funds, but trade more like stocks. Some of the most popular ETF strategies, such as cash equitization and hedging, rely extensively on accurate index tracking, abundant liquidity and low cost.

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Badges? We Don’t Need No Stinking Badges

July 23, 2012

Financial regulation lives on the legally assigned characteristics of participants. The definitions of broker-dealer and exchange provide the underpinning of U.S. regulatory fabric and yet it took almost 30 years to craft a definition for ‘the alternative trading system’. Herein lies a lesson: a world in which technology, product strategy, and business models evolve faster than language may be a poor place to apply regulation based on participant silos. Market structure expert, Ian Domowitz, considers this issue and regulatory alternatives in this week’s edition of The Blotter.

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Create or buy - A comparative Analysis of Liquidity and transaction costs for selected US ETF

October 25, 2012

Our examination of twelve popular Exchange Traded Funds (ETFs) reveals that ETFs exhibit qualitatively different liquidity and cost characteristics than common stocks. The limit order book for ETFs is deeper than that of common stocks with similar daily share volume, price, spread, and volatility characteristics, especially at price levels immediately surrounding the prevailing mid-quote.

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What’s the meaning (& Impact) of “Meaningful Price Improvement”?

June 29, 2013

Starting May 26th the Australian regulator (ASIC) had new market integrity rules (MIR) relating to pre-trade transparency exceptions coming into affect. Rule 4.2.1 of ASIC MIR (Competition in Exchange Markets) was revised to introduce tiered thresholds for block trading (also known as “Block Specials” or just “Specials”), while also introducing meaningful price improvement exception to pre-trade transparency (replacing the “at or within the spread” exception) under rule 4.2.3.

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How Analytics Can Help Make the Most Out of Asian Liquidity

July 2, 2014

The term ‘TCA’ has now become so common across the industry, and some would argue commoditized, that its value is in danger of becoming misunderstood. While most buyside firms use some form of broker post-trade analysis to measure how they’ve performed against their benchmark, the firms who are out-performing versus their peers are using a broader approach of pre-trade, real time and post-trade analytics to answer questions about how and why trading costs are incurred, and what actions can be taken to reduce them.

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The Cost of Liquidity in the FX Market

October 23, 2014

On July 3, 2013, the courts pronounced caveat emptor with respect to execution performance in the FX market. U.S. District Judge Denise Cote threw out a lawsuit, which accused JPMorgan Chase & Co. of breaching a fiduciary duty to custodial clients by charging “hidden and excessive mark-ups” on currency trades.

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