May 2011
Intermediate to advanced
366 pages
11h 31m
English
book
Managed Futures for Institutional Investors: Analysis And Portfolio Construction
by Galen Burghardt, Brian Walls
Content preview from Managed Futures for Institutional Investors: Analysis And Portfolio Construction
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P1: OTA/XYZ P2: ABC
JWBT468-c11 JWBT468-Burghardt March 12, 2011 2:0 Printer Name: Courier Westford
242 Building Blocks
EXHIBIT 11.12 Sweep-to-Fill Market Impacts (E-mini S&Ps, 1/3/06–3/31/06)
0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0–500 500–1,000 1,000–2,000 2,000–3,000 3,000–5,000
Order Size
Cost–True Price
Source: Reuters, Newedge Prime Brokerage Research.
Comparing the two distributions, we find that actual trade prices re-
veal more liquidity than is apparent in the limit order book. As shown in
Exhibit 11.13, the effect of hidden liquidity was worth slightly more than
a cent for small orders and just under 2 cents for fairly large trade sizes.
For intermediate-sized ...
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