Research
Pragma has a team of Ph.D.-practitioners focused on understanding market structure and its effect on trading results. Our researchers have academic backgrounds including parameter estimation, detection theory, statistical signal processing, computational physics, and microchip design, plus decades of experience in building and analyzing real-world trading systems.
View our research documents below
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- Pragma’s Comment Letter on the SEC’s Proposed Reg NMS changes
- FX Passive Order Analysis (July 2022)
- On the Limits of Markouts and Venue Curation (October 2021)
- Measuring Execution Quality – Finding the Signal in the Noise (November 2020)
- Tick Size Pilot (September 2018)
- Pragma’s Comment Letter for SEC Transaction Fee Pilot
- Inverted Exchanges: Higher Leakage or Higher Quality? (March 2018)
- Defining the FX Flash Crash (December 2017)
- The Value of e-FX Bank Streams (June 2017)
- Long-Term Investors Embrace FX Algos (June 2017)
- The WM/R Fix Quarterly Update (Q3 2016)
- The WM/R Fix Quarterly Update (Q2 2016)
- A Buyside Blind Spot is Vanishing (May 2016)
- The WM/R Fix One Year Later (April 2016)
- WM/R Fixing Update (Jan 2016)
- WM/R Trading Patterns: Month-End and Quarter-End (Nov 2015)
- New Trading Patterns Around The WMR Fix (July 2015)
- Liquidity Clustering In Dark Venues (June 2015)
- Constructing VWAP Curves (May 2015)
- Market Structure (March 2015)
- Venue Analysis What Is It Good For (May 2014)
- A Conflict Inherent In The Maker Taker Model (July 2013)
- The Limits Of Price Prediction Algorithms (April 2013)
- Constructing VWAP Curves (July 2012)
- The Difficulty Of Trading Ultra Liquid Stocks (July 2012)
- To Hop “the Queue” or Not to Hop “the Queue” (March 2012)
- Inverted Price Destinations And Smart Order Routing (Nov 2011)
- Effects of Execution Strategy on Statistical Arbitrage Performance (Nov 2011)
- To (Spread) Capture Or Not To (Spread) Capture (Sept 2011)
- HFT and Cost of Deep Liquidity (2012)
- OnePipe 3.0 (Feb 2011)
- Trade Process Analysis (May 2010)
- Static VWAP A Comparative Analysis (2009)
- Characteristics Of Different Liquidity Pools (2009)
- Anti-Gaming In The OnePipe Optimal Liquidity (2008)
- Dynamic Portfolio Using Optimal Control w/ Quadratic Costs (2008)
- What Will The Next Generation Of Algorithms Offer (2007)