Best Execution and transaction cost analysis in wholesale equity

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					Best Execution and transaction cost analysis in wholesale
equity trading
Jour Fixe

Veranstaltungszeit: SS 2009
Veranstalter: Prof. Dr. Kai Rannenberg
Vortragender: Uwe Schweickert
Studienabschnitt: Doktorandenstudium
Termin: Dienstag, 16.06.2009, 12:15-13:45 Uhr
Veranstaltungsort: Campus Westend, RuW Gebäude, Raum 2.202


Abstract

Best Execution is a popular concept in equity trading - most wanted but hard to define with a
common understanding and even harder to quantify. An implementation shortfall concept is
proposed to identify Better Execution by the execution value of realized order executions
against a naïve trading. The concept fulfils the typical requirements of applied benchmarks in
transaction cost analysis and is applicable to reveal hidden information in the principal-agent
relationship of order execution management.

The concept is suitable for various applications that build on the hidden information of order
execution quality, e.g. to design incentive compatible contracts between buy and sell side
market participants, to effectively segment order flow for different execution models or to
contribute to the discussion of Best Execution concepts. First applications of the concept give
evidence on the economic significance of both Better Execution and the determinants of
order execution values in wholesale equity trading.