Order splitting and interacting with a counterparty

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dc.contributor.authorvan Kervel, Vincent
dc.contributor.authorKwan, Amy
dc.contributor.authorWesterholm, P. Joakim
dc.date.accessioned2025-01-20T17:21:30Z
dc.date.available2025-01-20T17:21:30Z
dc.date.issued2023
dc.description.abstractInstitutional 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.
dc.description.funderProyecto Fondecyt Regular, Chile
dc.fuente.origenWOS
dc.identifier.doi10.1016/j.finmar.2023.100850
dc.identifier.eissn1878-576X
dc.identifier.issn1386-4181
dc.identifier.urihttps://doi.org/10.1016/j.finmar.2023.100850
dc.identifier.urihttps://repositorio.uc.cl/handle/11534/91458
dc.identifier.wosidWOS:001125045700001
dc.language.isoen
dc.revistaJournal of financial markets
dc.rightsacceso restringido
dc.subjectOrder splitting
dc.subjectLiquidity
dc.subject.ods08 Decent Work and Economic Growth
dc.subject.odspa08 Trabajo decente y crecimiento económico
dc.titleOrder splitting and interacting with a counterparty
dc.typeartículo
dc.volumen66
sipa.indexWOS
sipa.trazabilidadWOS;2025-01-12
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