Anatomy of the Trading Process: Empirical Evidence on the Behavior of Institutional Traders (Revised: 12-94)
This paper examines empirically the behavior of institutional traders using unique data on the equity transactions of 21 institutions of differing investment styles during 1991-1993. The data provide a detailed account of the anatomy of the trading process, and include information on the number of days needed to fill an order and types of order placement strategies employed. We analyze the determinants of trade duration and the decisions regarding order type. Our analysis provides some support for the predictions made by theoretical models, but suggests that these models fail to capture important dimensions of trading behavior.
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