Persistent Link:
http://hdl.handle.net/10150/195279
Title:
An empirical analysis of institutional liquidity trading
Author:
Brough, Tyler Jon
Issue Date:
2010
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
Keywords:
Liquidity Trading; Market Microstructure; Transition Management
Degree Name:
Ph.D.
Degree Level:
doctoral
Degree Program:
Business Administration; Graduate College
Degree Grantor:
University of Arizona
Advisor:
Lamoureux, Chris
Committee Chair:
Lamoureux, Chris

Full metadata record

DC FieldValue Language
dc.language.isoenen_US
dc.titleAn empirical analysis of institutional liquidity tradingen_US
dc.creatorBrough, Tyler Jonen_US
dc.contributor.authorBrough, Tyler Jonen_US
dc.date.issued2010en_US
dc.publisherThe University of Arizona.en_US
dc.rightsCopyright © 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.en_US
dc.description.abstractI 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.en_US
dc.typetexten_US
dc.typeElectronic Dissertationen_US
dc.subjectLiquidity Tradingen_US
dc.subjectMarket Microstructureen_US
dc.subjectTransition Managementen_US
thesis.degree.namePh.D.en_US
thesis.degree.leveldoctoralen_US
thesis.degree.disciplineBusiness Administrationen_US
thesis.degree.disciplineGraduate Collegeen_US
thesis.degree.grantorUniversity of Arizonaen_US
dc.contributor.advisorLamoureux, Chrisen_US
dc.contributor.chairLamoureux, Chrisen_US
dc.contributor.committeememberDyl, Eden_US
dc.contributor.committeememberKelley, Ericen_US
dc.contributor.committeememberGowrisankaran, Gautamen_US
dc.identifier.proquest11181en_US
dc.identifier.oclc752261035en_US
All Items in UA Campus Repository are protected by copyright, with all rights reserved, unless otherwise indicated.