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.
This second LIBOR whitepaper, structured in the form of frequently asked questions, is meant to address: (1) the progress to date, (2) critical future milestones, and (3) concerns regarding the sufficiency of SOFR as an adequate LIBOR replacement.
This paper outlines ISDA’s current thinking on clearing risk management best practices. Fundamental to these practices is the principle that CCP risk management decisions should be based on the risk profile of a given derivatives product. These best practices call for a holistic, multifaceted and dynamic product-based…
International investors can contribute positively to the growth and development of emerging markets. These markets also offer a range of investment opportunities for investors. This research, undertaken with the support of the EBRD, seeks to understand what encourages (or discourages) international investor participation in…
The paper derives a parsimonious model for the long-term dynamics of a well-diversified stock index, the S&P500. The index is modeled as growth optimal portfolio. Its normalized value evolves, in some market time, as a square root process. The derivative of market time is a linear function of the squared derivative of a…
Using detailed order handling data over the life of 330 million institutional orders, we study whether order routing by brokers to Alternative Trading Systems (ATSs) that they own affects execution quality. In a multivariate regression specification that controls for stock attributes, order characteristics and market…
This report is based on quantitative and qualitative information of 33 SME markets4 (3 in the Americas, 14 in the Asia-Pacific region and 16 in EMEA) at 29 exchanges across the globe. The full set of contributing markets and the associated platforms is set out in Annex A. For purposes of this report, we use the term “SME” to…
The ISDA SwapsInfo Review provides analysis of interest rate derivatives (IRD) and credit derivatives trading activity. The report provides a breakdown of cleared and non-cleared activity, swap execution facility (SEF) and off-SEF traded notional, product taxonomy and currency. This summary provides a high-level overview of…
This paper analyzes recent trends in the size and composition of over-the-counter (OTC) derivatives markets, using the latest data from the Bank for International Settlements (BIS) and ISDA.
Despite the availability of low-cost exchanges, over-the-counter (OTC) trading is pervasive for most assets. We explain the prevalence of OTC trading using a model of adverse selection, in which informed and uninformed investors choose to trade over-the-counter or on an exchange. OTC dealers’ ability to price discriminate…
