Premium
Slippage Costs in Order Execution for a Public Futures Fund
Author(s) -
Greer Thomas V.,
Brorsen B. Wade,
Liu Shi-Miin
Publication year - 1992
Publication title -
applied economic perspectives and policy
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.4
H-Index - 49
eISSN - 2040-5804
pISSN - 2040-5790
DOI - 10.2307/1349507
Subject(s) - futures contract , order (exchange) , slippage , business , finance , economics , financial economics
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.