In the conclusion to Parts I, II, and III of this series, Alphacution assembles its findings in terms of total retail equity order flow 'acquisition costs'; some insights into the wholesaler strategy behind why they pay these costs; and a simplified recommendation to the SEC...
In a continuation from Parts I and II of this series, Alphacution presents a 20-chart walk through the remaining steps it needed to estimate the net price improvement value of odd lot shares - and thus, the total NPIV for all retail order size categories related to wholesale equity market maker, Citadel Securities, over the period 2020 - 2022...
In a continuation from Part I of this exercise, Alphacution shares the first steps in estimating price improvement rates for odd lot orders based on data related to wholesale market maker, Citadel Securities...
Given the approaching timing of the SEC's proposed overhaul of US equity market structure, Alphacution takes its analysis of 605 data to a new level with this one (using Citadel Securities as the initial example). Nearly four years of monthly price improvement rates per share and net price improvement values by order size and order type categories are among the highlights here...
Alphacution presents new perspectives on US retail investor behavior in equity options...
With the latest data in hand, Alphacution follows up on Virtu's claim of "another record year in options market making in 2022."
Alphacution adds a few thoughts on risk management and Jane Street to Joe Rennison's New York Times article on Sam Bankman-Fried: "‘Effective Altruism’ Led Bankman-Fried to a Little-Known Wall St. Firm"
Virtu's "record year in options market making" claim is not possible in terms by which real option market makers operate...
L'Agefi sur comment Ken Griffin bâtit son empire. Le financier américain a construit une forteresse associant un hedge fund et un teneur de marché.
The Wall Street Journal's Gunjan Banerji uses Alphacution's estimates in "Some Amateur Investors Retreat From Markets."
