Research Reports
Peer-review-standard quantitative research from the FundInsight Research Lab, Singapore. All reports are based on proprietary tick data and available to registered institutional clients.
Research publications are available in full to registered institutional clients. Contact research@fundinsight.net or submit a request via the Secure Gateway.
Order Matching Efficiency in Multi-LP FX Environments: Gateway 2026 Performance Analysis
This paper evaluates the order matching performance characteristics of the FundInsight Secure Gateway 2026 infrastructure, analysing fill rates, rejection ratios, and market impact coefficients across 28 connected liquidity providers. Using a dataset of 3.2 billion order events processed during the Q1 2026 validation period, the report documents a 31% improvement in effective spread and a 94.6% reduction in order rejections compared to the 2021 Gateway baseline.
Multi-Layer Risk Governance in Institutional FX Trading: A Quantitative Framework
A formal specification and empirical validation of FundInsight's three-tier risk governance model, covering pre-trade order admission controls, intraday EWMA VaR monitoring, and post-trade P&L attribution. The paper introduces the Liquidity-Adjusted VaR (LaVaR) metric and documents its calibration methodology against realised execution cost data across 6 major FX pairs and 12 commodity instruments.
Liquidity Microstructure and Order Flow Toxicity: VPIN Analysis Across Multi-Session FX Markets
Application of the Volume-Synchronised Probability of Informed Trading (VPIN) metric to FundInsight's Level 2 order book data across the Asian, European, and North American trading sessions. The study quantifies adverse selection risk and documents the relationship between VPIN values and subsequent short-term price impact, validating VPIN as a leading indicator of intraday liquidity regime shifts.
Smart Order Routing Efficacy: Slippage Attribution and Market Impact Across 28 Tier-1 LPs
Empirical analysis of slippage reduction attributable to the FundInsight adaptive SOR algorithm across 6 major FX pairs and 4 commodity instruments. The study documents per-LP fill rates, adverse selection costs, and market impact coefficients, and derives optimal LP allocation weights under the Almgren-Chriss framework for each instrument and session window.
Volatility Regime Classification Using Hidden Markov Models: Cross-Asset Validation 2020-2024
Formal validation of the FI-VIX Hidden Markov Model (HMM) regime classification framework against realised volatility outcomes across FX, equity indices, and commodity markets spanning January 2020 to December 2024. The paper documents classification accuracy across five volatility regimes (calm, low-vol, moderate, high-vol, crisis) and evaluates the model's performance during the 2022-2023 rate tightening cycle.
FundInsight Research Lab has published 41 institutional research papers since June 2012.
Full archive available to MSA-registered clients.
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