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LMAX Exchange partners with Oxford University academic to evaluate TCA for FX

First Published 15th November 2017

LMAX Exchange has partnered with a leading academic at the University of Oxford to develop a methodology for consistent evaluation of trading costs across liquidity pools that can be used by the FX industry

London - Dr. Álvaro Cartea of the University of Oxford's Mathematical Institute is a researcher and published finance expert specialising in high-frequency and algorithmic trading, market quality and financial regulation. Together, LMAX Exchange and Dr. Cartea aim to drive forward the industry's understanding of foreign exchange (FX) transaction cost analysis (TCA) and produce mathematically robust findings of practical value to benefit all FX market participants.

LMAX Exchange and Dr. Cartea intend their work to be unbiased, a reflective and fair assessment, and to promote further FX industry engagement. To ensure this, Dr. Cartea will conduct independent research, and call on contributions from other market participants and academics.

"There has been very little published research to date in FX and particularly in the fields of Market Structure and Transaction Cost Analysis when compared to more regulated asset classes," says Dr. Andrew Phillips, Chief Technology Officer at LMAX Exchange. "We were delighted to be approached by Dr. Cartea in response to our TCA whitepaper: TCA and fair execution. The metrics the FX industry must use, published in May 2017. The mathematical rigour and analysis that Dr. Cartea and his group will bring to the topic presents a unique opportunity for us to support and accelerate the pace of industry understanding of FX TCA."

Dr. Álvaro Cartea, Mathematical Institute, University of Oxford commented: "Blending advanced mathematical modelling with industry knowledge and data is the most effective way to deliver research with impact. One of our primary objectives is to develop a mathematical model to address issues at the heart of financial market structure."