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.
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