FinReg Forecast: Nine Market Structure Predictions for 2012
As we enter the New Year—with hopes of better volumes and a bounce for our industry—Jamie Selway provides his annual list of market structure predictions and marks the book on 2011’s blotter.
View ArticleLifting the Veil From ETF Liquidity What You Need to Know to Appreciate What...
Liquidity is cited as one of the top ETF selection criteria and so understanding the ETF trading process is crucial. In this edition of The Blotter, ITG's experts examine twelve popular ETFs and show...
View ArticleCreate or Buy: A Comparative Analysis of Liquidity And Transaction Costs For...
Our examination of twelve popular Exchange Traded Funds (ETFs) reveals that ETFs exhibit qualitatively different liquidity and cost characteristics than common stocks. Our comparison of ETF and basket...
View ArticlePreliminary Russell Analysis
With this year’s Russell Reconstitution just a week past, we analyzed the trading characteristics of Russell adds and deletes to provide color on the reconstitution and the two days surrounding the...
View ArticleKeepin’ It Retail: SEC Approves NYSE’s RLP Proposal
July 5, 2012, the SEC approved NYSE’s Retail Liquidity Program, or “RLP,” for a oneyear pilot for all NYSE and NYSE MKT (AMEX) listings. We provide an overview and offer our thoughts on implications in...
View ArticleThe Timing of FOMC Monetary Policy Announcements and Intraday Trading Volume...
After FOMC started practicing alternative release schedules for policy announcements in 2011, the volume profiles for many US securities experienced significant realignments. Commonly used...
View ArticleFinal 2012 Russell Reconstitution Review
In this edition of the The Blotter, index expert Charles Behette recaps this year's Russell Rebalance. His effective date, period and post-event analysis includes detailed performance metrics on...
View ArticleBadges? We Don’t Need No Stinking Badges: The Sequel
The previous installment of “Badges” equates them to definitions of market participants. The focus was on a CFTC-proposed definition of high frequency trading, or HFT. The conclusion reached is that...
View ArticleAlgorithmic Portfolio Trading: A Primer
Due to its complexity, algorithmic portfolio trading is often considered hard to understand and difficult to navigate. In this paper, we first provide an overview of a typical portfolio algorithm...
View ArticleRussell Reconstitution: Final Trading Analysis
We extend our preliminary study published on 6/29/2012 to include the trading period between T-15 (6/1/2012) and T+15 (7/16/2012). We examine volume, spread, volatility and trading costs. We also look...
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The Cost of the D-Quote
Traders commonly use market-on-close (MOC) or limit-on-close (LOC) orders to participate in the NYSE closing auction. An alternative mechanism is the D-Quote.Unlike MOC/LOC orders, which must be...
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