We define a new variable (PROG) as the proportion of orders that are from program trades calculated for each minute of trading.
Since we learned in Table III that program trades, on average, have a smaller TTC, then it is intuitive that if the average trade size increases due to a higher proportion of program trades, then TTC should decrease.
On most occasions, Rivera would receive directions from Allstate's Portfolio Management Group or the pension plans manager regarding when to buy or sell for large
program trades. The trades were then executed within the parameters provided.
Orexo's ADR
program trades in the US over-the-counter (OTC) market, under the symbol ORXOY, with each ADR comprised of 1 ordinary share in Orexo AB.
1 The NYSE calculates program trading as the sum of shares bought, sold and sold short in
program trades. The total of these shares is divided by the sum of shares bought, sold and sold short on the NYSE including its crossing sessions.
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.
Since program trades are only 10 percent of NYSE volume, the index futures markets manage a flow of "synthetic" portfolio trades some 12 times that of the NYSE in a trading session.
The result of this process is a list of issues to buy and sell periodically that can at times be most efficiently handled via a program trade. Other applications involve index funds with slight tilts or increased weights in "cheap" issues at the expense of lower weights in issues deemed overvalued through some analytical process.
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.
