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The F Word

Published in Automated Trader Magazine Issue 12 Q1 2009

If there's one word that sums up all the past few years’ changes in the way we do business, it’s fragmentation. It happened in the US, it’s happening now, post-MiFID, in Europe, and as regulation evolves and venues proliferate, the signs are that fragmentation is going global. It’s pervasive, it’s driving strategy development and technology investment, and now, it’s even got its own index. William Essex, editor of Automated Trader, spoke to the man who masterminded the Fidessa Fragmentation Index (FFI) and now writes the FFI blog* – Steve Grob, director of strategy at Fidessa

What gave you the idea?

We were trying to get a picture of what was going on. But each MTF was calculating its market share differently, so it was very difficult to get any kind of meaningful comparison. The second thing was, it was very hard to get an idea of any trends. So we gave the R&D people the challenge of finding a way to measure how fragmentation is occurring, so we could predict trends. And they came up with a calculation based on the inverse of the Herfindahl index, which is wid

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