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The Trading Mesh

Deltix's Blog

Update: Generating Alpha with Earnings Date Revisions

June 23, 2017 Comments (0)           

By Stuart Farr, DeltixThis article originally appeared on the Deltix website at is reproduced here with permission.

Research Update
This study is an update of the research using data from Wall Street Horizon that we first published on our blog in November 2015. At that time, we had data from January 2006 to September 2015. Now we have data to March 2017. We continue to be impressed by the stability of the returns.
We showed our approach for this study in...

Optimizing Order Execution Using Advanced Execution Analysis

November 7, 2016 Comments (0)           

By Stuart Farr, DeltixThis article originally appeared on the Deltix website at is reproduced here with permission.
Examining Execution Transaction Costs in LME Metals
Transaction Cost Analysis (TCA) has traditionally been used to examine costs of order executions between different brokers, demonstrate best execution and provide other compliance-based functions. More recent applications of TCA involve forensic analysis of executions. This deeper analysis helps firms improve...

Generating Alpha Using IPO & Secondary Issue Data

March 10, 2016 Comments (0)           

By Stuart Farr, Deltix
The markets are currently in a risk averse state, at least in part as a consequence of rapidly-evolving geopolitical issues and slowing market growth in China. As a result, the IPO and secondaries markets slowed in late 2015 and have remained sluggish in the first quarter of 2016. Nonetheless, companies will still need access to the capital markets this year, even if it is not at a frenzied pace. 
Trading IPOs and Secondaries
Developing a strategy...