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    An empirical analysis of institutional liquidity trading

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    Author
    Brough, Tyler Jon
    Issue Date
    2010
    Keywords
    Liquidity Trading
    Market Microstructure
    Transition Management
    Advisor
    Lamoureux, Chris
    Committee Chair
    Lamoureux, Chris
    
    Metadata
    Show full item record
    Publisher
    The University of Arizona.
    Rights
    Copyright © is held by the author. Digital access to this material is made possible by the University Libraries, University of Arizona. Further transmission, reproduction or presentation (such as public display or performance) of protected items is prohibited except with permission of the author.
    Abstract
    I investigate the trading decisions of a large institutional liquidity trader by using a detailed data set from a transition management firm. The data set contains records for all trades of transitions completed between January 2008 and September 2008. Effective execution involves a trade off between trading patiently over time to minimize price impact costs and trading quickly to avoid opportunity costs due to price volatility. I estimate a model of transition duration that accounts for volatility, an order's percentage of average daily volume, and the bid--ask spread to uncover the firm's strategy of how quicklyto trade. To understand the firm's intermediate trading decisions, I estimate a vector autoregression that summarizes the dynamic relationship of volatility, trading volume, the bid--ask spread, and order type and order duration. My analysis suggests that the firm behaves strategically to minimize the total costs of trading.
    Type
    text
    Electronic Dissertation
    Degree Name
    Ph.D.
    Degree Level
    doctoral
    Degree Program
    Business Administration
    Graduate College
    Degree Grantor
    University of Arizona
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