Bryok Integrity Metrics

Better Execution

Best execution means that an agent acting on behalf of an investor must execute the investor's order in a way that is most advantageous to the investor [1].  Alongside factors such as price, size, cost and speed, market integrity is an essential but so far neglected factor. An investor does not obtain the most advantageous execution if the security traded for him is subject to market manipulation at the time. He may be at a disadvantage if the venue his agent selects is suffering some technical problem, or an HFT algo has become unstable.

The cost to investors of neglecting market integrity as a best execution criterion is enormous [2]. Conversely, taking market integrity into account when deciding when, where and how to trade creates a substantial opportunity for better execution. Bryok Integrity Metrics™ support better informed trading and order routing decision making, and more thorough best execution analysis.

Bryok Integrity Metrics™ provide independent and objective insight into what market data reveals about the integrity of markets. They deploy advanced statistical techniques [3] to identify a range of characteristic anomalies:

  • per venue
  • per security
  • groups of securities: index, sector, geography, etc
  • related securities: an equity and an option on it, an index component and an option on that index
  • at a given time, cumulative, time and event weighted.

Bryok Integrity Metrics

Bryok Integrity Metrics™ are available to all interested parties - buy-side, sell-side, trading venues, regulators, information providers, analysts and commentators.

For more information, please see our White paper.  If you want to benefit from market integrity please contact us.

Complexity simplified.

 

[1] In the EU, for instance, MiFID says that a firm must take all reasonable steps to obtain the best possible result, taking into account price, costs, speed, likelihood of execution and settlement, size, nature or any other consideration relevant to the execution of the order.

[2] The European Commission estimates the cost of market abuse across EU equity markets was €13.3bn in 2010. This does not include accidental or inadvertent causes of lack of market integrity, such as those resulting in the May 2010 Flash Crash - few investors will have obtained "best execution" during that episode!

[3] These techniques are similar to those used in Bryok's Colucida Anomaly Detection approach


 

© Bryok Systems Limited 2013

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