09.05.2014
By Terry Flanagan
Uncategorized
ETF Algorithmic Trading vs. Block Trading (Part 3)
09.05.2014 By Terry FlanaganWe statistically compared the ETF trade costs of implementation shortfall strategy with that of block trading which was deemed as an effective way to execute large chunk of shares. Block trade here was defined as single trade with prints of more than 10000 shares. We gathered all the ETF block prints from public market feeds of US equity market from 1/1/2013 to 12/31/2013.