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Liquidity and execution: The resiliency effect on institutional trading costs
14th May 3:00 PM – 4:30 PM BST
Resiliency is an important dimension of market liquidity. In this paper we aim to bridge the gap between resiliency and institutional trading costs. By analysing a proprietary parent order dataset which is synchronised with depth and execution data, we find that institutional trading costs increase with non-resiliency, even after controlling for key prominent contributing factors of impact costs such as order size, participation rate and quoted spread. The resiliency effect is robust to trade direction, subperiods, and various order aggregation methods. In addition, we examine how the trading schedule of parent orders affects impact costs under different resiliency profiles. Overall, we establish that resiliency is a considerable determinant contributing to institutional trading costs.
About Dr Petko Kalev
Dr Petko Kalev is an Honorary Professor at La Trobe University Business School, La Trobe University, Melbourne. Since finishing his PhD in Financial Econometrics at Monash University in 2002, Dr Kalev has been actively involved in high-quality research, PhD supervision, mentoring, partnership with the industry and leadership. Petko’s main research interests are in: (i) Corporate Finance (ii) Market Microstructure (iii) Behavioural Issues and; (iv) Carbon Finance. Professor Kalev secured over $4.35 million CAT3/4 funding from the RoZetta Institute (formerly Capital Markets CRC for funding/placement of industry PhD students). His publications have appeared in top-tier journals such as Journal of Financial and Quantitative Analysis, Energy Economics, Journal of Banking & Finance, Journal of Economic Dynamics and Control, and Scientific Reposts among others.
Please note: this event is for University of Edinburgh staff and students only and is not open to the public. Guests will be required to sign in and show staff ID.
