Banking Crisis and Its Impact On Market Liquidity

In this paper, we examine bank failures' impact on market liquidity.  We also introduce a systematic approach to quantify and measure liquidity shock induced by the failure of a liquidity provider. The magnitude of recent bank failures sparked financial contagion fear.  Total assets of Silicon Valley Bank and Signature Bank was US$319 billion or 85% of the total assets of the failed banks during the Global Financial Crisis of 2008. 

Please email contact@bestx.co.uk if you are a BestX client and would like to receive a copy of the paper, which is also hosted within our FAQ section of the UI.

Expected Future Order Flow: How your trades generate more trades

In our latest research we take a look at the correlation between parent orders in the BestX trade database to understand how each trade can cause further trades in the market. From this data we can the fully assess the total market impact of a parent order that is split up into many child orders.

Please email contact@bestx.co.uk if you are a BestX client and would like to receive a copy of the paper, which is also hosted within our FAQ section of the UI.

Event Days and the Pattern of Intraday Trading

Our latest research article investigates how the pattern of intraday liquidity in FX changes depending on the nature of the day in question. We analyse key economic data release days, such as NFP, as well as month ends. Interestingly, we do not find any significant differences in the pattern of trading based on the day of the week, and we also don’t find a peak in activity around the WMR 4pm London Fix, at least when proxying liquidity by using tick counts. The economic events that seem to have the largest impact on the intraday liquidity pattern are, unsurprisingly, NFP and FOMC days.

Please email contact@bestx.co.uk if you are a BestX client and would like to receive a copy of the paper.

Analysing Liquidity in Fixed Income

Our latest research article introduces our new BestX Liquidity Score, BXLS, as a measure for analysing and comparing liquidity within the fixed income markets.

BXLS produces a value of between 0 and 100, where 100 represents high relative liquidity. Such a measure has many applications, including assisting in post-trade analysis by providing further context around cost and benchmark metrics measured for a given trade, together with potential value in stratifying exception reporting. In addition, such a score could provide value in a pre-trade, or portfolio construction, environment, where a user could select the most liquid securities to provide the desired exposure.

Please email contact@bestx.co.uk if you are a BestX client and would like to receive a copy of the paper.