Market Construction Analytics

Overview

The Securities and Change Fee created this web site to advertise higher understanding of our fairness markets and fairness market construction via the usage of knowledge and analytics.

Assessment present workers market construction analysis, use interactive knowledge visualization instruments to discover a wide range of superior market metrics produced from the Fee’s Market Data Information and Analytics System (MIDAS), obtain dozens of datasets to carry out your personal analyses, and additional the dialogue via public suggestions.

E mail Updates

Signal as much as be notified when new knowledge or evaluation is added to this web site.

Analysis and Evaluation

Learn or obtain workers market construction analysis and evaluation, together with SEC workers Information Highlights and White Papers. Latest updates embody:

• Workers Report on Algorithmic Buying and selling in U.S. Capital Markets

  White Paper (pdf, 860 kb)

  August 5, 2020

• Examine of Correlation Impression on Credit score Default Swap Margin utilizing a GARCH-DCC-copula Framework

  Analysis Word (pdf, 1 mb)

  November 13, 2019

• Does the Tick Measurement Have an effect on Inventory Costs? Proof from the Tick Measurement Pilot Announcement of the Take a look at Teams and the Management Group

  White Paper (pdf, 239 kb)

  November 9, 2018

• Empirical Evaluation of Liquidity Demographics and Market High quality For Thinly-Traded NMS Shares

  Analysis Word (pdf, 3.8 mb)

  April 10, 2018

• Tick Measurement Pilot Plan and Market High quality

  White Paper (pdf, 1.1 mb)

  January 31, 2018

• An utility of agent-based modeling to market construction coverage: the case of the U.S. Tick Measurement Pilot Program and market maker profitability

  White Paper (pdf, 1.9 mb)

  December 26, 2017

View all Analysis and Evaluation

Background

Information, Speeches and Testimony