LMAX Exchange and academic expert unite to advance transparency in FX markets
London, 15 November 2017 – LMAX Exchange, the FCA regulated multilateral trading facility (MTF) for foreign exchange (FX), announces its partnership with a leading academic at the University of Oxford to develop a methodology for consistent evaluation of trading costs across liquidity pools that can be used by the FX industry. This follows LMAX Exchange’s whitepaper – “TCA and fair execution. The metrics the FX industry must use”, published in May 2017 – and is a significant milestone in the firm’s call for industry-wide collaboration to agree a common approach to transaction cost analysis (TCA) in FX.
Dr. Álvaro Cartea of the University of Oxford’s Mathematical Institute is a leading researcher and published finance expert specialising in high-frequency and algorithmic trading, market quality and financial regulation. Together, LMAX Exchange and Dr. Cartea aim to drive forward the industry’s understanding of FX TCA and produce mathematically robust findings of practical value to benefit all FX market participants.
LMAX Exchange is a long-time advocate for complete transparency on trading costs and execution quality in the FX industry. For the last two years, it has conducted independent data research and led the development of FX TCA methodology to compare trading costs across all types of liquidity prevalent in the FX market, including firm and last look pricing, and which it detailed in its whitepaper.
LMAX Exchange and Dr. Cartea intend their work to be unbiased, a reflective and fair assessment, and to promote further FX industry engagement. To ensure this, Dr. Cartea will conduct independent research, and call on contributions from other market participants and academics.
“There has been very little published research to date in FX and particularly in the fields of Market Structure and Transaction Cost Analysis when compared to more regulated asset classes,” says Dr. Andrew Phillips, Chief Technology Officer at LMAX Exchange. “We were delighted to be approached by Dr. Cartea in response to our TCA whitepaper. The mathematical rigour and analysis that Dr. Cartea and his group will bring to the topic presents a unique opportunity for us to support and accelerate the pace of industry understanding of FX TCA.”
Dr. Álvaro Cartea, Mathematical Institute, University of Oxford commented: “Blending advanced mathematical modelling with industry knowledge and data is the most effective way to deliver research with impact. One of our primary objectives is to develop a mathematical model to address issues at the heart of financial market structure.”
David Mercer, Chief Executive of LMAX Exchange commented: “In the recently published responses to the Global Foreign Exchange Committee’s consultation on ‘last look’, the majority of firms advocated for more transparency and disclosure. While the practice of ‘last look’ exists, additional transparency can only be achieved through a standardised approach. Market participants need a common set of metrics to assess execution factors and costs across liquidity types.
“We are very pleased to work with Dr. Cartea with this objective, and to continue to fuel the debate around better market structures and the creation of genuine transparency. Ultimately, this is about helping the industry move towards a position where traders are in control of their trading costs and can set their liquidity strategy accordingly.”
For further information, please contact:
LMAX Exchange: Barbara Pozdorovkina T: +44 20 3192 2524 E: [email protected]
About LMAX Exchange
LMAX Exchange Group is a dynamic, visionary and award-winning financial technology company. Recognised as one of the UK’s fastest growing technology firms, LMAX Exchange is leading the transformation of the global FX industry to transparent, fair, precise and consistent execution. Operating one global marketplace for trading FX, metals, indices and commodities, LMAX Exchange delivers open access, transparency and a level playing field to all market participants.
LMAX Exchange Group offers all clients the ability to trade on LMAX Exchange central limit order book, driven by streaming no ‘last look’ limit-order liquidity from top tier banks and non-bank financial institutions. Servicing funds, banks, brokerages, asset managers and proprietary trading firms, LMAX Exchange offers an anonymous, regulated, rules-based trading environment, order execution in strict price/time priority, and access to real-time streaming market and trade data, enabling all market participants to control execution quality and total trading costs.
Offering a comprehensive range of instruments and ultra-low latency execution, LMAX Exchange operates a global FX exchange infrastructure with matching engines in London, New York and Tokyo.
LMAX Exchange - a unique vision for global FX.
2022 - 2021
40 Top Innovators in Financial Markets – TabbFORUMmore
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LMAX Exchange Group is the holding company of LMAX Limited and LMAX Broker Limited.
LMAX Exchange is a trading name of LMAX Limited, which operates a multilateral trading facility, authorised and regulated by the Financial Conduct Authority (firm reference number 509778) and is a company registered in England and Wales (number 6505809).
LMAX Global is a trading name of LMAX Broker Limited which is authorised and regulated by the Financial Conduct Authority (firm reference number 783200) and is a company registered in England and Wales (number 10819525).