Hendershott, Terrence
[Verfasser:in]
;
Jones, Charles M.
[Sonstige Person, Familie und Körperschaft];
Menkveld, Albert J.
[Sonstige Person, Familie und Körperschaft]
Implementation Shortfall with Transitory Price Effects
Erschienen in:Appeared in David Easley, Marcos López de Prado, and Maureen O'Hara, 2013, editors, "High-Frequency Trading: New Realities for Traders, Markets and Regulators
Umfang:
1 Online-Ressource (24 p)
Sprache:
Englisch
DOI:
10.2139/ssrn.3137570
Identifikator:
Entstehung:
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 18, 2013 erstellt
Beschreibung:
Regulators and some large investors have recently raised concerns about temporary or transitory volatility in highly automated financial markets. It is far from clear that high-frequency trading, fragmentation, and automation are contributing to transitory volatility, but some institutions complain that their execution costs are increasing. In this chapter, we introduce a methodology for decomposing the price process of a financial instrument into its permanent and transitory components, and we explore the insights from applying this methodology to execution cost measurement. Among other things, our methodology allows an institutional investor to accurately measure the contributions of transitory price movements to its overall trading costs. The methodology is particularly applicable to an investor that splits a large order into small pieces and executes it gradually over time