1 The NYSE calculates program trading as the sum of shares bought, sold and sold short in program trades
50 points: When the Dow Jones Industrial average loses or gains 50 points from the previous day's close, computer program trades
based on the stocks in the Standard & Poor's 500 stock index are restricted.
The volume of stocks exchanged in orders labeled program trades typically averages 10 percent of total volume.
I investigate whether program trades increase the odds of price reversions.
Harris, Sofianos, and Shapiro (I 990) and Neal (1991) investigate intraday program trading, finding that responses to program trades are similar to those found for block trades.
Program trades are usually undertaken blind; that is, the broker does not know the exact composition of the portfolio and must use his judgement in deciding whether or not a particular portfolio should be acquired.
This is partly because firms involved in program trading do not readily publicize the fact, and also because such figures as do exist relate not only to true program trades but also to index arbitrage and portfolio insurance.
In particular, the product's unique design makes it well-suited for orders generated from a variety of electronic trading strategies including algorithms, program trades
, and statistical arbitrage.
But Laszlo Birinyi, president of Birinyi Associates, a research firm that tracks program trading, said program trades
only accelerated a trend that was already in the market.
The BA American Depositary Receipt (ADR) program trades
on the New York Stock Exchange (NYSE) under the symbol BAB (CUSIP #110419306).
there were seven large program trades
on Thursday - block trade sell-offs that took more than 193 points off the Dow.
Nestle's Level One depositary receipt program trades
over the counter (OTC), with information accessible through the Pink Sheets.