In this paper we review the methodology for calculating the market cleanliness statistic (MCS).
Read the Research Note (PDF)[1]
Summary
We propose changes to improve the coverage and robustness of the MCS.
The new methodology incorporates intraday trading activity and leads to a statistic that is robust to periods of heightened market volatility.
With these adjustments we aim to ensure that the statistic supports the FCA in setting high standards of transparency, reducing the risk of market manipulation, and promoting healthy competition.
Next steps
From 2024, the FCA will publish the MCS according to the new methodology. We welcome feedback on this methodology and findings. Please email [email protected].
Authors
Khashayar Rahimi, Sam Hainsworth, Silvia Lozano Guerrero, Guidogiorgio Bodrato and Larissa Emde.
Disclaimer
Research notes contribute to the work of the FCA by providing rigorous research results and stimulating debate. While they may not necessarily represent the position of the FCA, they are one source of evidence that the FCA may use while discharging its functions and to inform its views. The FCA endeavours to ensure that research outputs are correct, through checks including independent referee reports, but the nature of such research and choice of research methods is a matter for the authors using their expert judgement. To the extent that research notes contain any errors or omissions, they should be attributed to the individual authors, rather than to the FCA.