出版社：LLC “Consulting Publishing Company “Business Perspectives”
摘要：The paper examines the bias introduced by metaorder limit prices when measuring quality of execution services on financial market.While evaluating the quality of ex ecution services,observed execution costs should be adjusted for metaorder participation rate,size and duration to ensure that they are comparable across execution service providers.One of the exogenous factors which may bias measured execution costs are the different metaorder limit prices in the sample.Currently,there are no proposed methods to normalize for this bias.In the research,the difference in execution costs for metaorders with different limit prices was examined by implementing a limit order book simulation model.It was discovered that the difference in metaorder limit prices is a source of significant heterogeneity in the execution cost distribution.However,we were able to prove that when market agents trade with constant intensities,the dif ference in execution costs for metaorders with different limit prices is fully explained by their realized participation rate.As a result,financial institution may assess qual?ity of execution services for metaorders without any reservations about differences in metaorders limit prices as long as execution costs are adjusted for different participa?tion rates.
关键词：execution cost;metaorders;limit order book;participation rate;market microstructure
