Anatomy of the Trading Process: Empirical Evidence on the Behavior of Institutional Traders
Posted: 14 May 1998
Date Written: July 1994
This paper examines 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 motivations for trade, the determinants of trade duration, and the choice of order type. The analysis provides some support for the predictions made by theoretical models, but suggests that these models fail to capture important dimensions of trading behavior.
JEL Classification: G20, G23, G29
Suggested Citation: Suggested Citation