1 August, 2023
Speaker Interview: Dr Elliot Banks, Chief Product Officer, BMLL talks with Quant Strats
An exclusive speaker interview with Dr Elliot Banks, Chief Product Officer, BMLL where he discusses the biggest challenges facing data scientists in 2023, the use of ChatGPT by quant funds and how funds can get new systematic strategies into production quickly.Read more
2 June, 2023
BMLL Market Lens: The View From The Feed | Sector Metrics Edition
A selection of 7 aggregated metrics to better understand the market, including Volatility, TWA Spread, Quote to Trade, Mean Resting Time, Notional Liquidity Around BBO, Fill Probability and Auction Dislocation.Read more
3 May, 2023
Do you know where your VWAP curve is? A glimpse of the shifting volume profiles in the US before and after the pandemic
During the lockdown period of the pandemic, from March 2020 to February 2022, Investors were more dependent on the morning trading hours, including the open and the hour following. In this article, we looked at the changing landscape of volume curves in the top 500 stocks by market capitalization in the US markets for three periods.Read more
26 April, 2023
Data & Analytics: The building blocks for differentiation
In the recent Data & Analytics Race webinar moderated by The TRADE, we explored how historical data helps firms gain deeper insights across the trade lifecycle to deploy more sophisticated strategies and gain a trading advantage.Read more
31 March, 2023
Rolling with the punches | How granular insights enable participants to reduce the cost of trading during the roll
To explore the impact of the roll period, we use the BMLL Data Lab to analyse 45 pairs of WTI outright futures contracts across four years. By comparing Level 1 with Level 3 metrics, we demonstrate how Level 3 metrics provide earlier warnings when rolling occurs in the order book.Read more
23 March, 2023
Examining the Impact of Increased Market Volatility on US Treasury Bond Trading
In the wake of the collapse of several major US banks, including Silicon Valley Bank (SVB), bond futures markets saw increased activity across March 2023, using BMLL Futures Data, we examine how treasury bond future contracts were impacted.Read more
7 March, 2023
Case Study - Berenberg’s TIA, The Next Frontier in Execution Analysis
Jason Rand, Global Head of Electronic Trading, Berenberg, discusses how democratising access to quantitative execution analytics and data visualisations leads to better trading outcomes for participants.Read more
7 March, 2023
South African markets embark on a fragmentation journey
Dr Elliot Banks, Chief Product Officer, BMLL, discusses the South African market, fragmentation, and how granular data is essential for institutional investors in navigating the close.Read more
24 February, 2023
Speaker Interview: Dr Elliot Banks, Chief Product Officer, BMLL talks with Quant Strats
An exclusive speaker interview ahead of Quant Strats 2023 with Dr Elliot Banks, Chief Product Officer, BMLL where he discusses the biggest challenges facing data scientists in 2023, and how funds can get new systematic strategies into production quickly.Read more