订单分裂和与交易对手的交互

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Financial Markets Pub Date : 2023-11-01 DOI:10.1016/j.finmar.2023.100850

Vincent van Kervel , Amy Kwan , P. Joakim Westerholm

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引用次数: 0

摘要

机构投资者有强烈的动机去寻找自然的交易对手，以便能够以更低的成本进行更大规模的交易。我们从理论上证明，指令分割允许机构投资者逐渐发现彼此的交易意图，从而使他们能够协调交易以实现交易收益最大化。实证结果表明，投资者能够实时发现交易对手，并据此调整交易利率。经济规模是相当大的，因为自然交易对手交易量的一个标准差增加与母订单规模增加11.9%和平均执行不足减少86%相关。

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Order splitting and interacting with a counterparty

Institutional investors have a strong incentive to find natural counterparties to be able to trade larger amounts at lower costs. We show theoretically that order splitting allows institutional investors to gradually detect each other’s trading intentions, such that they can coordinate their trading to maximize gains from trade. Empirically, we confirm that investors detect counterparties in real-time and adjust their trading rate accordingly. The economic magnitudes are sizeable, as a one-standard deviation increase in natural counterparty trading volume correlates with a 11.9% increase in parent order size and a 86% reduction in average implementation shortfall.

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来源期刊

Journal of Financial Markets BUSINESS, FINANCE-

CiteScore

3.40

自引率

3.60%

发文量

期刊介绍： The Journal of Financial Markets publishes high quality original research on applied and theoretical issues related to securities trading and pricing. Area of coverage includes the analysis and design of trading mechanisms, optimal order placement strategies, the role of information in securities markets, financial intermediation as it relates to securities investments - for example, the structure of brokerage and mutual fund industries, and analyses of short and long run horizon price behaviour. The journal strives to maintain a balance between theoretical and empirical work, and aims to provide prompt and constructive reviews to paper submitters.