Blog

The SEC has mandated a massive project to build the consolidated audit trail (CAT) over the next several years, at a cost that’s projected to reach the hundreds of millions of dollars that will ultimately be borne by investors. But there has so far been a disturbing lack of attention to how this massive database is supposed to be used from a technical perspective. As a result, it looks likely that the CAT will be

Pragma’s research team recently released a new research note titled “The Limits of Price Prediction Algorithms”. The research team took this look at short-term price prediction (on the scale of a few minutes) because of the increase of marketing claims over the last couple of years for price prediction as a significant contributor to execution quality in agency algorithms.

The research note provides a framework for quantifying the value that short-term price prediction can bring to agency-style

A recent Forbes article featured some research and commentary we published last year on HFT and the Hidden Cost of Deep Liquidity. We received the following query from a buyside trader about one of our conclusions in the research note:

Q: Would sub-penny trading really benefit institutions?

A: Thanks for your question. I think this probably reflects many traders’ intuition that sub-penny pricing creates a difficult trading environment. Traders don’t want to see the real liquidity staying