News, Insight and Events

23 January, 2025

Now is the time to get your event-driven trading strategies ready for India’s Budget Day on 1 February

India’s Budget Day may significantly impact trading volatility and volumes, to the point that India’s stock exchanges are keeping markets open on Saturday 1 February, to allow investors to trade. Anantya Bhatnagar, Quantitative Analyst, BMLL, takes a granular Level 3 data look at the dramatic impact of India’s 2024 budget on market behaviour.

3 December, 2024

The Rise of Retail Trading - The European Perspective

Following our previous article on retail trading where we examined the US markets, we now look at the European retail trading landscape, using Level 3 order book data to build a fuller picture of retail trading activity.

21 November, 2024

The Rise of Retail Trading - The US Perspective

The article explores the growing influence of retail investors in U.S. equity markets, particularly how their trading behavior differs from institutional investors. By leveraging Level 3 historical data, the article highlights how on-exchange retail volumes can be tracked more accurately than with delayed or aggregated data, providing clearer insights into retail activity and its impact on market structure.

30 October, 2024

EDGA Equities Exchange migrates to Maker-Taker Model: the impact on market microstructure

From November 1, 2024, CBOE’s EDGA® Equities Exchange will shift from an "inverted" marketplace to a "maker-taker" (m-t) model.

18 September, 2024

Plotting at the Triple Witching Hour: how the Closing Auction has changed

In this article, Daniel Friensener, Quant Analyst, compares the closing auction for 2023 and 2024 across global markets, and examines the changes when it comes to a Triple Witching day.

11 September, 2024

€STR Wars Part III: Return of the €STR

Analysis of futures linked to the Euro short-term rate (€STR) contract, and the importance of understanding this liquidity in order to minimise the cost of trade, find liquidity and hedge efficiently.

10 September, 2024

Normalisation: a dirty word or a differentiator for success?

Trading practitioners and quants need access to high quality data that captures all information, but importantly is also consistent and easy to use. Dr Elliot Banks takes a deeper look at what good data normalisation really means, and why it matters.

4 September, 2024

How to Become a ‘Quant’ Overnight

In the Capital Markets world, it is generally accepted that it is necessary to have Python proficiency and access to certain third-party terminals to construct, identify and articulate vital deep market microstructure insights. But will this still be the case in the future?

20 August, 2024

The Great Sell-Off: A Deeper Look at Wall Street’s Dramatic Fall

This August, America’s leading share indices tumbled in volatile trading just weeks after they scaled record highs, bringing about Wall Street’s worst day in almost two years. Nazed Mannan looked at what really took place.