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.
Foreign exchange and other fast-paced electronic markets (FPMs) have undergone significant structural changes in recent years. Trading has become increasingly electronic and automated, and the use of machine learning is nascent but growing. This report by the Bank for International Settlements explores how these developments…
TABB’s outreach to the buy-side found there are still steps that much of the buy-side need to take with respect to workflows and internal practices to embrace ETFs for what they have become – an outright asset class on its own. Small to medium sized buy-side firms revealed a universal lack of expertise in primary or…
This paper aims to prompt readers to further engage with stock exchanges and securities regulators on how to create more resilient financial markets that contribute to the broader objectives of society, as suggested in the preamble to the PRI’s Six Principles. The case studies featured in the paper are not intended to be…
The digital revolution took its time getting to fixed income, but today it’s transforming the investing landscape. Already, major advances in technology are helping early adopters gain unique insights and act faster in markets where speed and alpha are increasingly and inextricably linked. Predictive analytics, automation,…
Using 1.7 trillion dollars of live trade execution data from a large institutional money manager across 21 developed equity markets over a 19-year period, we measure the real-world trading costs and price impact function of a large trader. We provide a novel description of how costs vary across trade type, stock…
Price signatures are statistical measurements that aim to detect systematic patterns in price dynamics localized around the point of trade execution. They are particularly useful in electronic trading because they uncover market dynamics, strategy characteristics, implicit execution costs, or counter-party trading behaviours…
Copy trading platforms, which allow traders on social networks to receive information on the success of other agents in financial markets and to directly copy their trades, have attracted millions of users in recent years. This column examines the implications of copy trading for investors’ risk taking. An experiment reveals…
