Brokerage Commissions and Institutional Trading Patterns [PDF, 166k](2214 hits) - Why do brokers charge per share commissions to institutional traders? What determines the
commission charge? The choice of per share commissions as a payment method is puzzling, as
commissions are not the most natural way to charge for order execution because costs are not
proportional to the trade size and commissions are supposed to deter trading.
URL: http://pricing.free.fr/docs/vwap/comm0405_yale.pdf - Wednesday, July 31st 2002
Controlling Institutional Trading Cost [PDF 494k](1612 hits) - Trading costs are the bane of institutions.
Despite tireless efforts to reduce them, insti-tutions
face inefficient market structures
manned by inefficient intermediaries that con-spire
to keep costs high.
Robert A. Schwartz and Benn Steil
URL: http://pricing.free.fr/docs/vwap/JPM_Steil.pdf - Wednesday, July 31st 2002
Dynamics of Liquidity in an Electronic Limit Order Book Market , [PDF, 760k](982 hits) - We take advantage of special features of a limit order book to construct measures of liquidity. It
is first shown that liquidity varies substantially over the trading day. This is of interest, in part,
because we provide strong evidence that discretionary traders trade in high liquidity periods. We
also model the comovements of liquidity, returns, and volatility of returns. In doing so, several
URL: http://pricing.free.fr/docs/vwap/OMXCDM24.pdf - Wednesday, July 31st 2002
Equity Trading by Institutional Investors. To Cross or Not to Cross?(925 hits) - Keywords: Costs of Equity Trading, Trading Mechanisms, Crossing, Institutional Equity
Trading. The costs to institutional investors of trading equity are of obvious practical as well as
academic interest. To date, the empirical academic literature on this topic has concentrated
on data from equity trading at organized exchanges. This paper adds to the extant research
by including evidence on using alternative mechanisms for facilitating equity trading, so called
URL: http://pricing.free.fr/docs/vwap/NaessOdegaard.pdf - Wednesday, July 31st 2002
Friction, [PDF, 140k](847 hits) - The sources of trading friction are studied, and simple, robust empirical measures
of friction are provided. Seven distinct measures of trading friction are computed
from transactions data for 1,706 NYSE0AMSE stocks and 2,184 Nasdaq stocks.
The measures provide insights into the magnitude of trading costs, the importance
of informational versus real frictions, and the role of market structure. The degree
to which the various measures are associated with each other and with trading
characteristics of stocks is examined.
URL: http://pricing.free.fr/docs/vwap/pu2000-06.pdf - Wednesday, July 31st 2002
Liquidity in an Automated Auction ,[PDF, 109k](652 hits) - The use of automated auctions to trade equities, derivatives, bonds and foreign exchange has increased
dramatically in recent years. Trading in automated auctions occurs through an electronic limit order
book without the need for dealers. Automated auctions offer advantages of speed and simplicity, but
depend on public limit orders for liquidity.
URL: http://pricing.free.fr/docs/vwap/OMXCDM21.pdf - Wednesday, July 31st 2002
NYSE Execution Costs [PDF, 145k](721 hits) - This paper uses unique audit trail data to evaluate execution costs and price
impact for all NYSE order types: system orders as well as all types of floor orders.
Almost 50 percent of market order volume and floor broker volume in the sample
receives price improvement.
URL: http://pricing.free.fr/docs/vwap/Werner.pdf - Wednesday, July 31st 2002
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