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Analysis | Market fragmentation


Fragmentation in Europe


In this issue Best Execution welcomes a new research organisation, LiquidMetrix and their analysis of the consolidated figures for stocks on major indices.


The charts and figures below are based upon LiquidMetrix’s unique benchmarking methodology that provides accurate measurements of trends in market movements. The benchmarking process considers not only Trading Volumes but also


Market share MTF market share


Q2 2012 Q3 2012


27.64% 28.77%


Market value traded


(%) (€bn/day) €36.81


€27.70 Change +1.13% -€9.11


analyses Order Book prices and liquidity from all relevant markets. Statistics are compared for various depths of liquidity and are averaged over 30 second time intervals.


Based on European fragmented stocks


MTF market share has been fairly stable in a range from 25-30% apart from a dip in April. Despite a fall in trading volumes during the


third quarter, MTF market share held up, when we would have expected it to decrease. What can also be seen are spikes in trading volumes when Triple witching occurs every three months.


20 30 40 50 60 70 80


0 01-Jan-12 64 01-Apr-12 01-Jul-12 Best Execution | Autumn 2012


20 22 24 26 28 30 32 34


€bn value traded


% MTF market share (5 day moving average)


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