Empirical Insights on Financial Intermediary Services - How Order Slicing and Modification impacts Order Executions Times
Year: 2015
Type: article
Abstract: Information Technology heavily transforms the financial industry and already changed the intermediating services of brokers. This class of service providers has to fulfill the trading of especially large orders with best possible executions and within a given time frame. Based on previous research in order executions, we develop a model for survival analysis of orders and estimate the influence of multiple factor groups and various factors in these groups to estimate how slicing, modification and the overall specification influence the likelihood of execution. Using a unique message-based dataset of Deutsche Boerse AG, we find empirical evidence on the influence of factors whether brokers and their traders can execute the overall order in a definable time frame. Finally, we discuss the observed coefficients and show how brokers and their traders can use and aggregate these coefficients for decision-support on how to slice modify and specify large client orders.
Author: Moritz Weber
Institution: Goethe University Frankfurt
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W856952531