What Millisecond Market Data Reveals About FX and Crypto Markets
This discussion brings together LMAX Group and Macro Hive to review insights from their joint research series based on high-frequency market data. Arun Sundaram, Head of Commercial Data & Analytics at LMAX Group, speaks with Bilal Hafeez, CEO and Head of Research at Macro Hive, and Sam Van de Schootbrugge, Quantitative Macro Strategist at Macro Hive, about the findings from four research reports produced over the past year. The fourth report focuses on comparing liquidity and price discovery across LMAX data centres in London and Tokyo during major Japanese macroeconomic events. The analysis examines reaction times, correlations between venues and the role of local liquidity in execution costs.
