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Slippage Costs in Order Execution for a Public Futures Fund

Author

Listed:
  • Thomas V. Greer
  • B. Wade Brorsen
  • Shi-Miin Liu

Abstract

The trading records of a commodity futures trading fund were examined to determine slippage on the fund's futures market transactions. Slippage was about double that found in previous research that included all traders. Slippage was largest on days with large price movements and for large orders. Funds appear to trade at times when the market is moving quickly and brokers have trouble filling orders at the target price. Since funds use similar systems, as a group they may be responsible for increasing intraday price movements because a large number of funds want to trade at the same time.

Suggested Citation

  • Thomas V. Greer & B. Wade Brorsen & Shi-Miin Liu, 1992. "Slippage Costs in Order Execution for a Public Futures Fund," Review of Agricultural Economics, Agricultural and Applied Economics Association, vol. 14(2), pages 281-288.
    • Handle: RePEc:oup:revage:v:14:y:1992:i:2:p:281-288.
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    File URL: http://hdl.handle.net/10.2307/1349507
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    Citations

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    Cited by:

    1. Martinez, Valeria & Gupta, Paramita & Tse, Yiuman & Kittiakarasakun, Jullavut, 2011. "Electronic versus open outcry trading in agricultural commodities futures markets," Review of Financial Economics, Elsevier, vol. 20(1), pages 28-36, January.
    2. Park, Cheol-Ho & Irwin, Scott H., 2004. "The Profitability Of Technical Trading Rules In Us Futures Markets: A Data Snooping Free Test," 2004 Conference, April 19-20, 2004, St. Louis, Missouri 19011, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    3. Shah, Samarth & Brorsen, B. Wade & Anderson, Kim B., 2009. "Liquidity Costs in Futures Options Markets," 2009 Conference, April 20-21, 2009, St. Louis, Missouri 53047, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    4. Cheol‐Ho Park & Scott H. Irwin, 2007. "What Do We Know About The Profitability Of Technical Analysis?," Journal of Economic Surveys, Wiley Blackwell, vol. 21(4), pages 786-826, September.
    5. Valeria Martinez & Paramita Gupta & Yiuman Tse & Jullavut Kittiakarasakun, 2011. "Electronic versus open outcry trading in agricultural commodities futures markets," Review of Financial Economics, John Wiley & Sons, vol. 20(1), pages 28-36, January.
    6. Robert Ślepaczuk & Grzegorz Zakrzewski & Paweł Sakowski, 2012. "Investment strategies beating the market. What can we squeeze from the market?," Working Papers 2012-04, Faculty of Economic Sciences, University of Warsaw.
    7. Scott Brown & Timothy Koch & Eric Powers, 2009. "Slippage And The Choice Of Market Or Limit Orders In Futures Trading," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 32(3), pages 309-335, September.
    8. Ślepaczuk Robert & Sakowski Paweł & Zakrzewski Grzegorz, 2018. "Investment Strategies that Beat the Market. What Can We Squeeze from the Market?," Financial Internet Quarterly (formerly e-Finanse), Sciendo, vol. 14(4), pages 36-55, December.

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