Given the broad definition for INST, this is intuitive as many institutions are not primarily trading institutions and, as such, will not heavily engage in program trading
. The overall signs and significance of the explanatory variables mostly agree with those reported in Table V.
It can be found that the six active program trading
strategies are superior to the passive buy-and-hold strategy and the average return rates of the six active program trading
strategies are larger than that of the passive buy-and-hold strategy before and after the transaction cost.
Direct investigation of the effects of program trading
finds temporary increases in volatility which are most prominent in index arbitrage activities.
Very few of the survey respondents considered themselves "very familiar" with program trading
or index arbitrage.
Because the stock side of an EFP trade usually occurs in London, it is not reflected in NYSE volume figures; however, the volume is reported in the program trading
statistics collected monthly by the NYSE.
Something more like scoring public relations points by capitalizing on the public's misconceptions about program trading
The combination ofstock index futures and computerized program trading
has created a suped-up stock market.
involves the purchase or sale of equities through a transaction that involves a portfolio of stocks rather than a series of transactions effected on a stock-by-stock basis.
While there are many types of computer-assisted trading, no type has excited such interest and controversy as what has become known as "program trading
." A United States Presidential Commission has looked into it.
It set a new record for the largest single execution with a single trade totalling a[logical not]133 million (US$180 million) in principal, and saw a 57% growth in its program trading
and algorithmic business from Q3 to Q4 2010.
Also designed and installed the program trading
desk system (PTMS) still in current use today.
He has held relevant industry roles at Bank of New York (NYSE: BK), where he founded its program trading
desk, and Furman Selz Capital Management.