The authors are particularly grateful to Richard Roll for his insightful comments on a previous version of this paper. They are also grateful to A. White, T. McCurdy, Z. He, E. Errais, to the participants in the Joint Conference of the Canadian Operational Research Society and Optimization Days (Montreal 2006), FMA European Conference (Barcelona 2007), and EFMA Conference (Vienna 2007) and an anonymous referee of this journal for helpful remarks. Thanks are also due to S. Meknassi, K. Gikas, H. El-Ibrami, V. Valentir, David Felkai and J. Pagé for their able assistance. Data for the study was graciously supplied by the Montreal Exchange with the consent of the Boston Options Exchange. Financial support from the Chair in the management of derivative products is gratefully acknowledged. Correspondence: N. Khoury.
PIP Transactions, Price Improvement, Informed Trades and Order Execution Quality
Article first published online: 5 MAY 2008
© 2008 The Authors Journal compilation © 2008 Blackwell Publishing Ltd
European Financial Management
Volume 16, Issue 2, pages 211–228, March 2010
How to Cite
Khoury, N., Perrakis, S. and Savor, M. (2010), PIP Transactions, Price Improvement, Informed Trades and Order Execution Quality. European Financial Management, 16: 211–228. doi: 10.1111/j.1468-036X.2008.00452.x
- Issue published online: 25 FEB 2010
- Article first published online: 5 MAY 2008
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