Execution and Exchanges

Execution and Exchanges - Articles & White Papers

Articles and white papers on trade execution and stock exchanges. Amongst our most popular research in this section are white papers on high-frequency trading (HFT), covering for instance, "high-frequency trading and dark pools" and HFT from an asset manager's perspective. Reports on dark pools of liquidity is well featured, highlighting a need to understand dark pools in equity trading, but also reflecting concerns over the impact of dark trading on market quality. Bond liquidity risk has been another recent investor concern, and research on bond market liquidity has been well received. Other popular research includes white papers on broker trade execution services, transition management, extreme price movements, the impact of a global withholding tax, and analysis of trading costs for pension funds. This category contains surveys and papers of interest to traders, dealers, market-makers, trading venues, stock exchanges and operators of dark pools and dealing platforms.
  • Manipulation in the VIX? (2017)

    At the settlement time of the VIX Volatility Index, volume spikes on S&P 500 Index (SPX) options, but only in out-of-the-money options that are used to calculate the VIX, and more so for options with a higher and discontinuous influence on VIX. The authors investigate alternative explanations of hedging and coordinated liquidity trading. Tests including those utilizing ...

  • Commonfund Institute

    Understanding the Cost of Investment Management: A Guide for Fiduciaries

    This paper seeks to provide fiduciaries with a better understanding of the nature of the costs paid for the funds for which they are responsible, and to support best practice. Past surveys demonstrate a low level of understanding of costs by foundations and endowments. The paper explores different disclosed and undisclosed types of costs. It explains the derivation ...

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  • CFA Institute Research Foundation

    Trading and Electronic Markets: What Investment Professionals Need to Know - CFA Institute Research Foundation (2015)

    Few institutions or practices have changed as quickly in recent years as equity trading. Not that long ago a person-to-person affair, conducted by specialists on the exchange floor and dealers in the over-the-counter market, trading is now almost all electronic. High-frequency traders, who do not hold any long-term investment positions, make up a large share of volume. It’s a ...

  • Brookings Institution

    Market Liquidity: A Primer (Brookings Institution, 2015)

    Being able to buy and sell securities is central to the functioning of the market, so the current debate about whether or not market liquidity is drying is an important one. In this primer, the issues are introduced with answers to questions about the nature of market liquidity, its relevance, and its decline; furthermore, the recent market volatility is explained, and key factors ...

  • Russell Investments

    Transition Management Explained

    Transition management is the process of making far-reaching, sometimes structural, changes to a fund's portfolio. A well-implemented transition management process will reduce unnecessary costs and unrewarded risks which might otherwise be associated with wide-ranging changes to investment exposures. This 20 page document from Russell, from 2014, provides an overview and ...

  • FX Global Code 2017: Principles of Good Practice in Foreign Exchange

    This set of global principles of good practice in the foreign exchange market (Global Code) has been developed to provide a common set of guidelines to promote the integrity and effective functioning of the wholesale foreign exchange market (FX Market). It is intended to promote a robust, fair, liquid, open, and appropriately transparent market in which a diverse set of Market ...

  • Office of Financial Research

    Benefits and Risks of Central Clearing in the Repo Market (OFR, March 2017)

    Recent regulatory changes have raised the cost of activity in the repurchase agreement (repo) market for bank-affiliated dealers. Many transactions between dealers are centrally cleared. Expanding the use of central clearing to transactions between dealers and nondealers could reduce costs and improve market access for market participants. But what are the trade-offs? Data from the ...

  • Financial Industry Regulatory Authority - FINRA

    Distributed Ledger Technology: Implications of Blockchain for the Securities Industry (FINRA, 2017)

    Distributed Ledger Technology (DLT) - also known as blockchain technology or distributed database technology - has attracted significant interest and funding in the financial services industry in recent years. Several large financial institutions have established dedicated teams to explore the technology, and some market participants have formed consortia to create industry ...

  • The UK Referendum - Challenges for Europe's Capital Markets (AFME, 2016)

    This 62-page paper by the Association for Financial Markets in Europe examines the consquences - legal and regulatory - of Brexit on the Eurozone's wholesale capital markets. The authors consider the best arrangements that might exist to lessen the impacts on the new relationship UK/EU relationship that will emerge.

  • FS Super

    How Much Does It Cost Super Funds to Trade Equities? (FS Super, 2016)

    This paper focuses on equity portfolio trading done by, or on behalf of, Australian superannuation funds. The authors explain some key concepts, identify the main trading cost drivers, and compare indicative costs for a selection of trades in Australian and International equities across a range of common fund scenarios, including small vs. large order sizes, patient vs. urgent ...

  • Bank for International Settlements

    Electronic trading in fixed income markets (BIS, 2016)

    In recent years, electronic trading has expanded across the fixed income market landscape to become a hugely important part. It has influenced changes in market structure, the price discovery process and liquidity provision. With this in mind, a survey was commissioned by the Markets Committee to better understand how current developments affecting market structure and functioning. ...

  • High-Frequency Trading around Large Institutional Orders (2016)

    Do HFTs (high-frequency traders) lean against sizable institutional orders? This paper, by Vincent Van Kervel and Albert J. Menkveld, begins with this question. The authors find that initially, HFTs do indeed lean against orders. They eventually turn around and go with them for long-lasting orders. When high-frequency traders lean against the order (by one standard deviation), ...

  • PricewaterhouseCoopers

    Global financial markets liquidity study (2015)

    Numerous studies have offered invaluable insights on the theme of market liquidity. These studies, however, focus too often on specific market regulations, making it difficult to understand the broader effects of recent market liquidity regulations. This study by PwC reviews global financial market liquidity broadly, using the available data and speaking with market participants to ...

  • PricewaterhouseCoopers

    An objective look at high-frequency trading and dark pools (2015)

    In recent years, high-frequency trading (HFT) has regularly been in the news. The 2010 “Flash Crash” —when the Dow Jones experienced one of its biggest 1-day point declines in its history—was followed by the publication of Michael Lewis’s bestselling 2014 nonfiction book, "Flash Boys". Following these events is the equally controversial ...

  • Deloitte

    U.S. Intraday Liquidity Survey: Are banks ready? (Deloitte, 2016)

    Large banks have had years to adapt to the US regulations and international standards that govern long-term liquidity reserve requirements, monitoring, and reporting. Now that similar standards apply to the hour-by-hour playing field of intraday liquidity, how are banks progressing toward compliance? And, how are they realizing the value of a strong foundation program for managing ...

  • BNY Mellon

    Collateral: The New Performance Driver (BNY Mellon, June 2017)

    In 2017, the global buy-side community faces considerable liquidity and funding pressures, stemming from market and regulatory reforms that are causing disruption. As a result, access to high-quality collateral, funding and liquidity is not only a pressing concern but has emerged as the essential new performance driver for the buy-side.

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