Abstract
Execution speed and execution cost are important dimensions of execution quality, but they exhibit offsetting time-varying patterns throughout the trading day. In their study, Garvey and Wu examine when trading in U.S. equities tends to be both faster and cheaper. They find that marketable (nonmarketable) orders submitted around the open are more likely to exhibit the best low-cost, high-speed combination. Moreover, market participants who achieve better overall execution quality concentrate a high percentage of their trading in the morning. The authors’ results suggest that market participants who assess their execution quality along multiple dimensions are better off submitting their orders shortly after the market opens.
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