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ITG Research
Following are links to ITG-authored papers addressing current industry issues and trends.
| ITG Global Trading Cost Review: 2008 Q1 | |
Date of paper: |
August 2008 |
| 2008 Russell Reconstitution Recap | |
Authors: |
Vitaly Serbin |
Date of paper: |
July 2008 |
| Are You Playing in a Toxic Dark Pool? A Guide to Preventing Information Leakage | |
Authors: |
Hitesh Mittal |
Date of paper: |
June 2008 |
| Maintaining Trade List Structure Across Dark Pools: The Right Aggregating Algorithm Makes All The Difference | |
Authors: |
Hitesh Mittal, Ronald Taur |
Date of paper: |
February 2008 |
| Understanding Hidden Liquidity Within The Spread | |
Date of paper: |
October 2007 |
| ITG ACE® – Agency Cost Estimator: A Model Description | |
Date of paper: |
October 2007 |
| ACE Discretionary Versus ACE Non-Discretionary: A Case Study Using ITG Algorithms Execution Data | |
Author(s): |
Milan Borkovec, David Han, and Hans G. Heidle |
Date of paper: |
September 2007 |
| Algorithms, Trading Costs and Order Size | |
Author(s): |
Yossi Brandes, Ian Domowitz, Brett Jiu, and Henry Yegerman |
Publication: |
Algorithmic Trading: A Buyside Handbook 2nd Edition, published by The Trade |
Date of paper: |
August 2007 |
 |
The Magic of Hindsight: Creating a Post-Trade Transaction Cost Estimate Based on Realized Market Conditions |
Author: |
Milan Borkovec and Hans G. Heidle |
Date of paper: |
June, 2007 |
|
Liquidity Aggregation: What Institutional Investors Need to Know |
Author: |
Gabriel Butler, ITG |
Publication: |
Journal of Trading |
Date of paper: |
May, 2007 |
|
Let's Play Hide-and-Seek: The Location and Size of Undisclosed Limit Order Volume |
Author(s): |
Steve Bongiovanni, Milan Borkovec, Robert D. Sinclair, ITG Solutions Network, Inc. |
Publication: |
Journal of Trading |
Date of paper: |
July 9, 2006 |
|
Comment on Proposed Commission Guidance Regarding Client Commission Practices Under Section 28(e) of the Securities Exchange Act of 1934 (File No. S7-09-05) |
Date of paper: |
July 28, 2006 |
|
Algorithm Selection: A Quantitative Approach |
Author(s): |
Jian Yang, ITG Inc. Brett Jiu, ITG Inc. |
Publication: |
Algorithmic Trading II: Precision, Control, Execution 2006 |
Date of paper: |
April 2006 |
| A Quick Guide To Tax Efficient Investment (For Australian Markets) | |
Author(s): |
Ian Heddle, ITGA |
Date of paper: |
November 2005 |
|
Comment on Proposed Commission Guidance Regarding Client Commission Practices Under Section 28(e) of the Securities Exchange Act of 1934 (File No. S7-09-05) |
Date of paper: |
November 2005 |
| Measuring and Interpreting the Performance of Broker Algorithms | |
Author(s): |
Ian Domowitz, ITG Inc. Henry Yegerman, ITG Inc. |
Publication: |
Algorithmic Trading: A Buyside Handbook Sponsored by The Trade |
Date of paper: |
August 2005 |
| Implementation Shortfall – One Objective, Many Algorithms | |
Author(s): |
Hitesh Mittal, ITG Inc. |
Publication: |
The Euromoney: International Equity Capital Markets Handbook 2005/2006 |
Date of paper: |
April 2005 |
| Liquidity Commonality and Return Co-movement | |
Author(s): |
Ian Domowitz, ITG Inc. Oliver Hansch, Pennsylvania State University Xiaoxin Wang, Southern Illinois University |
Publication: |
Journal of Financial Markets |
Date of paper: |
March 2005 |
| Trading Intelligently: Structuring Transaction Costs Across the Investment Process | |
Author(s): |
Yossi Brandes, ITG Inc. |
Publication: |
The Global Portfolio Trading Handbook 2005/06 |
Date of paper: |
March 2005 |
| The Cost of Algorithmic Trading: A First Look at Comparative Performance | |
Author(s): |
Ian Domowitz, ITG Inc. Henry Yegerman, ITG Inc. |
Publication: |
Algorithmic Trading: Precision, Control, Execution |
Date of paper: |
March 2005 |
| Resiliency in an Automated Auction | |
Author(s): |
Mark Coppejans, Barclays Global Investors Ian Domowitz, ITG Inc. Ananth N. Madhavan, Barclays Global Investors |
Publication: |
Advances in Quantitative Analysis of Finance and Accounting |
Date of paper: |
December 2004 |
| Where Risk Control Meets Cost Control in Analytics Development | |
Author(s): |
Ian Domowitz, ITG Inc. |
Publication: |
The Journal of Investing |
Date of paper: |
March 2004 |
| Concept Release on Measures to Improve Disclosure of Mutual Fund Transaction Costs | |
Author(s): |
Ian Domowitz, ITG Inc. |
Date of paper: |
February 2004 |
| How
Effective Are Effective Spreads? An Evaluation of Trade Side Classification Algorithms |
|
Author(s): |
Ananth Madhavan, ITG Inc. |
Date of paper: |
November 2002 |
| Constructing Fair Value Adjusted Indexes | |
Author(s): |
Ananth Madhavan, ITG Inc. |
Date of paper: |
November 2002 |
| Implementing Fair Value Pricing | |
Author(s): |
Ananth Madhavan, ITG Inc. |
Publication: |
The Journal of Investing |
Date of paper: |
November 2002 |
| The Hidden Costs of Index Rebalancing: A Case Study of the S&P 500 Composition Changes of July 19, 2002 | |
Author(s): |
Ananth Madhavan, ITG Inc. |
Publication: |
The Journal of Investing |
Date of paper: |
September 2002 |
| Implementation of Hedge Fund Strategies | |
Author(s): |
Ananth Madhavan, ITG Inc. |
Date of paper: |
September 2002 |
| Practical Risk Analysis for Portfolio Managers and Traders | |
Author(s): |
Ananth Madhavan, ITG Inc. |
Date of paper: |
April 2003 |
| Index Reconstitution and Equity Returns | |
Author(s): |
Ananth Madhavan, ITG Inc. |
Publication: |
The Journal of Investing |
Date of paper: |
September 2002 |
| Regulation Fair Disclosure and Information Asymmetry | |
Author(s): |
Vesna Štraser, ITG Inc. |
Date of paper: |
March 2002 |
| VWAP Strategies | |
Author(s): |
Ananth Madhavan, ITG Inc. |
Publication: |
Transaction Performance |
Date of paper: |
April 2002 |
| International Equity Trading Cost: A Cross-Sectional and Time Series Analysis | |
Author(s): |
Ian Domowitz, ITG Inc. |
Date of paper: |
June 2001 |
| Global Equity Trading Costs | |
Author(s): |
Ian Domowitz, ITG Inc. |
Publication: |
Journal of International Finance |
Date of paper: |
May 2001 |
| The Hidden Cost of Trading at the Close | |
Author(s): |
David Cushing, Inference Group, LLC |
Publication: |
Institutional Investor Investment Guide: Transaction Costs |
Date of paper: |
April 2001 |
| Screen Information, Trader Activity, and Bid-Ask Spreads in a Limit Order Market | |
Author(s): |
Mark Coppejans, Duke University |
Date of paper: |
August 1999 |