Compared to the mayhem of April, the June month-end WM/R 4pm Fix went off reasonably OK – there were no huge moves, just a steady grind lower by the dollar except for against the yen, where it was in demand for the second time that day (the first being the Tokyo rate set at 9.55am […]
Tag: market impact
On this week’s podcast Colin Lambert is joined by Xav Porterfield, head of research at New Change FX (NCFX), to discuss a new method of measuring execution quality – the unit cost of volatility (UCV). Porterfield explains how the measurement actually derives from a landmark market impact paper in the mid-1990s before the two delve […]
I know I should leave it but I can’t resist – is it only me that sees the irony in a bunch of managers driving home a class action lawsuit over alleged manipulation just one day before we had a great example of how things may actually be worse than they were before? The April […]
The second – and penultimate – Irrational of 2019 is the Event of the Year and obviously this had to be held back to ensure that the Great British public did not don their subversive hats again and surprise at last week’s election. They did not to any great degree (although I don’t recall a […]
I am writing this sitting in a US airport awaiting my flight home – that airport is JFK in New York and, thanks to a short delay, I cannot help but think that just a few years ago it was here that Mark Johnson was arrested and commenced a period of hell that few, if […]
There is still so much “spin” around liquidity, for as we have noted in our In the FICC of It podcast, while the platforms and liquidity providers would have us believe there is no problem, the occasional flash move and, more pertinently I would argue, survey results indicating liquidity remains a very high concern for clients […]
Speakers at the Profit & Loss Forex Network New York event highlighted that how you define, measure and respond to market impact when trading FX depends on a number of different variables. Opening the discussion ‘Market Impact – Finding Execution Styles that Work’ moderator Paul Aston, the CEO of Tixall Global Advisors, argued that while […]
In the wake of the GFC and the allegations of misconduct aimed at institutions and individuals, the buzz word was ‘transparency’ – the word from market participants was that they were going to be transparent about everything, meanwhile regulators everywhere made a sustained push for absolute transparency in markets.
The thing is, in FX terms especially, it hasn’t worked – I am not convinced it has in any market actually – and market participants are showing this in where they put their business.
This column comes with a warning as I am getting increasingly grumpy with attitudes to FX market price action. You clearly can’t please everyone, but how can someone complain – as they did to me this week – that what we have seen in sterling this week was “the wrong kind of volatility”? Luckily I have this column to let off steam so let’s do that – with a take down of the model that has turned FX traders into glorified brokers.
Information leakage is the new “issue” in foreign exchange markets for many players (actually its just signalling risk renamed surely), and for several participants it is a question of their past catching up with them in how the LPs are not willing to help them anymore. For others, however, it is a genuine issue, but I am not sure how easy it is to solve given how everything we do online leaves a digital signature – and trading in no different.