Execution Quality Research Articles

Best Execution: Can Institutional and Retail Investors Benefit from Fast and Fragmented Trading?

Fast trading and fragmentation of volume make equity markets complex, leading retail and institutional investors to demand sophisticated brokerage services. In a sample of stock transactions in Swedish large-cap firms, we find that brokers who show high trading sophistication when trading their own book do not deliver comparable execution quality when trading on behalf of clients. Best execution legislation states that brokers should take all reasonable steps to maximize the execution quality when trading on behalf of clients. For institutional clients, the shortcoming in execution quality is primarily driven by brokers' inability to route the transactions to the trading venue with the best price. For retail clients, in contrast, the shortcoming is due to poor liquidity timing and a strong reliance on active executions. Only institutional block trades benefit from execution by sophisticated brokers.

Cognitive function in cancer survivors: Analysis of the 1999-2002 National Health and Nutrition Examination Survey.

193 Background: Cancer and its treatment may affect cognitive function in up to 35% of survivors months after treatment. While short-term treatment-related cognitive changes are well recognized, only limited research is available in older, long-term survivors of cancer. Methods: Using NHANES data from 1999 through 2002, 408 cancer survivors and 2,639 non-cancer participants age 60 and above were identified. Cognitive function of these groups were compared on self-reported problems with memory or confusion and using the Digit Symbol Substitution Test (DSST), a test of processing speed, attention, and learning and working memory involving executive functions domains. Results: Cancer survivors were on average 72.8 years old and 11.5 years from diagnosis. After adjustment for covariates, cancer survivors scored, on average, 1.99 points lower on the DSST compared to non-cancer survivors (ß=-1.99, 95%CI -3.94, -0.05). Cancer survivors also had 17% higher odds of self-reporting problems with memory or confusion (OR 1.17, 95%CI 0.89, 1.53). Similar results were observed among survivors ≥ 5 years from diagnosis (ß =-2.38, 95%CI -4.57, -0.18, OR1.41, 95%CI 0.99, 2.02). Results suggest that age modifies the association between cancer diagnosis and DSST score (p=0.11) with a larger effect size in the younger group (between 60 and 75 years). Among those younger than 75, cancer survivors performed 3.25 points lower on the DSST compared to non-cancer survivors (ß =-3.25; 95%CI -5.88, -0.62). However, this difference was only 0.18 points lower among those 75 or older (ß =-0.18; 95%CI -2.94, 2.57). Conclusions: This is the only study to examine domain specific cognitive deficits in a large, nationally representative, older population of long-term cancer survivors and the first to report deficits in processing speed, attention, and learning and working memory domains. These domains are thought to be important for social and executive functioning and quality of life. Characterizing affected domains and subpopulations will help to develop and test effective interventions and may influence treatment practices in older cancer patients.

Guidelines for the Provision and Assessment of Nutrition Support Therapy in the Adult Critically Ill Patient: Society of Critical Care Medicine (SCCM) and American Society for Parenteral and Enteral Nutrition (A.S.P.E.N.).

This document represents the first collaboration between 2 organizations-the American Society for Parenteral and Enteral Nutrition and the Society of Critical Care Medicine-to describe best practices in nutrition therapy in critically ill children. The target of these guidelines is intended to be the pediatric critically ill patient (>1 month and 2-3 days in a PICU admitting medical, surgical, and cardiac patients. In total, 2032 citations were scanned for relevance. The PubMed/MEDLINE search resulted in 960 citations for clinical trials and 925 citations for cohort studies. The EMBASE search for clinical trials culled 1661 citations. In total, the search for clinical trials yielded 1107 citations, whereas the cohort search yielded 925. After careful review, 16 randomized controlled trials and 37 cohort studies appeared to answer 1 of the 8 preidentified question groups for this guideline. We used the GRADE criteria (Grading of Recommendations, Assessment, Development, and Evaluation) to adjust the evidence grade based on assessment of the quality of study design and execution. These guidelines are not intended for neonates or adult patients. The guidelines reiterate the importance of nutrition assessment-particularly, the detection of malnourished patients who are most vulnerable and therefore may benefit from timely intervention. There is a need for renewed focus on accurate estimation of energy needs and attention to optimizing protein intake. Indirect calorimetry, where feasible, and cautious use of estimating equations and increased surveillance for unintended caloric underfeeding and overfeeding are recommended. Optimal protein intake and its correlation with clinical outcomes are areas of great interest. The optimal route and timing of nutrient delivery are areas of intense debate and investigations. Enteral nutrition remains the preferred route for nutrient delivery. Several strategies to optimize enteral nutrition during critical illness have emerged. The role of supplemental parenteral nutrition has been highlighted, and a delayed approach appears to be beneficial. Immunonutrition cannot be currently recommended. Overall, the pediatric critical care population is heterogeneous, and a nuanced approach to individualizing nutrition support with the aim of improving clinical outcomes is necessary.

EFFECT OF IMPLEMENTATION OF IMPROVED METHODS OF THE LIFE CYCLE STAGES ORGANISATION TO THE ONLINE COMMUNITY MANAGEMENT

This paper presents the current problem of investigation of the effect of implementation of improved methods of the life cycle stages organisation to online community management. The online community life cycle is the sum of the stages of organisation and development of online community. The current approaches of scientific researches of social processes within the WWW are analysed. The types of life cycles are distinguished and implemented in the online community management. The algorithm of life cycle stages of the online community is designed. The total quality of the life cycle stages execution and quality of the life cycle stages execution of Lviv Polytechnic online community from 2013 till 2016. Currently, the appropriate study and development of community management hardware and software provoke the most interest because online communities are a widespread and popular phenomenon, and the existing management software for them is imperfect and not complex.

Editorial—The Exploration-Exploitation Tradeoff and Efficiency in Knowledge Production

Marketing Science is in a very healthy state as the premier journal for quantitative research in marketing. Since its inception, it has led the way in bringing novel and innovative methodologies and expanding into new substantive areas of inquiry. The journal is now at the cusp of its next stage of creativity and innovation. I outline new research possibilities due to big data, behavioral field studies, and managerial interest in substantive areas such as health, sustainability, emerging markets, innovation, and entrepreneurship. As quantitative marketing’s leading journal, Marketing Science should aid the field in the efficient production of in-depth, valid, current, and relevant knowledge across the breadth of the discipline. To this end, I will actively manage incentives for exploitation and deepening of existing competencies in established areas while supporting exploration and broadening into newer, riskier topics at Marketing Science. To increase the field’s overall efficiency of knowledge production, I suggest a lexicographic approach to reviewing where the incremental contribution threshold is primary and demands on quality of execution be driven by what is needed for proving the validity of the incremental contribution claims.

On the road to standardization of D2 lymph node dissection in a European population of patients with gastric cancer

The amount of lymph node dissection (LD) required during surgical treatment of gastric cancer surgery has been quite controversial. In the 1970s and 1980s, Japanese surgeons developed a doctrine of aggressive preventive gastric cancer surgery that was based on extended (D2) LD volumes. The West has relatively lower incidence rates of gastric cancer, and in Europe and the United States the most common LD volume was D0-1. This eventually caused a scientific conflict between the Eastern and Western schools of surgical thought: Japanese surgeons determinedly used D2 LD in surgical practice, whereas European surgeons insisted on repetitive clinical trials in the European patient population. Today, however, one can observe the results of this complex evolution of views. The D2 LD is regarded as an unambiguous standard of gastric cancer surgical treatment in specialized European centers. Such a consensus of the Eastern and Western surgical schools became possible due to the longstanding scientific and practical search for methods that would help improve the results of gastric cancer surgeries using evidence-based medicine. Today, we can claim that D2 LD could improve the prognosis in European populations of patients with gastric cancer, but only when the surgical quality of LD execution is adequate.

The Ultimate Best Execution Conflict of Interest? A Speed Bump Designed to Enable Predatory High-Frequency Trading

Best execution is one of the most actively discussed topics in market structure. Despite all the attention and concern this topic garners, it is surprising to see that some marketplaces continue to deliver new services that further impede quality of execution. An interesting example of this is the speed bump that the TMX introduced on one of its trading platforms–TMX Alpha–in September 2015. This speed bump was created in response to a speed bump introduced by the Aequitas NEO Exchange, but as will be demonstrated in this article, not all speed bumps are created equal.

Population Estimation Methods for Free-Ranging Dogs: A Systematic Review.

The understanding of the structure of free-roaming dog populations is of extreme importance for the planning and monitoring of populational control strategies and animal welfare. The methods used to estimate the abundance of this group of dogs are more complex than the ones used with domiciled owned dogs. In this systematic review, we analyze the techniques and the results obtained in studies that seek to estimate the size of free-ranging dog populations. Twenty-six studies were reviewed regarding the quality of execution and their capacity to generate valid estimates. Seven of the eight publications that take a simple count of the animal population did not consider the different probabilities of animal detection; only one study used methods based on distances; twelve relied on capture-recapture models for closed populations without considering heterogeneities in capture probabilities; six studies applied their own methods with different potential and limitations. Potential sources of bias in the studies were related to the inadequate description or implementation of animal capturing or viewing procedures and to inadequacies in the identification and registration of dogs. Thus, there was a predominance of estimates with low validity. Abundance and density estimates carried high variability, and all studies identified a greater number of male dogs. We point to enhancements necessary for the implementation of future studies and to potential updates and revisions to the recommendations of the World Health Organization with respect to the estimation of free-ranging dog populations.

Effect of a Neonatal Resuscitation Course on Healthcare Providers' Performances Assessed by Video Recording in a Low-Resource Setting.

BackgroundWe assessed the effect of an adapted neonatal resuscitation program (NRP) course on healthcare providers’ performances in a low-resource setting through the use of video recording.MethodsA video recorder, mounted to the radiant warmers in the delivery rooms at Beira Central Hospital, Mozambique, was used to record all resuscitations. One-hundred resuscitations (50 before and 50 after participation in an adapted NRP course) were collected and assessed based on a previously published score.ResultsAll 100 neonates received initial steps; from these, 77 and 32 needed bag-mask ventilation (BMV) and chest compressions (CC), respectively. There was a significant improvement in resuscitation scores in all levels of resuscitation from before to after the course: for “initial steps”, the score increased from 33% (IQR 28–39) to 44% (IQR 39–56), p<0.0001; for BMV, from 20% (20–40) to 40% (40–60), p = 0.001; and for CC, from 0% (0–10) to 20% (0–50), p = 0.01. Times of resuscitative interventions after the course were improved in comparison to those obtained before the course, but remained non-compliant with the recommended algorithm.ConclusionsAlthough resuscitations remained below the recommended standards in terms of quality and time of execution, clinical practice of healthcare providers improved after participation in an adapted NRP course. Video recording was well-accepted by the staff, useful for objective assessment of performance during resuscitation, and can be used as an educational tool in a low-resource setting.

The Ultimate Best Execution Conflict of Interest

A designed to enable predatory high frequency trading. Best execution is one of the most actively discussed topics when it comes to market structure. Despite all the attention and concerns this topic garners, it is surprising to see that some marketplaces still continue to deliver new services that further impede quality of execution. An interesting example of this is the speed-bump that the TMX introduced on one of its trading platforms - TMX Alpha - in September 2015. It was in response to a introduced by the Aequitas NEO Exchange, but as will be demonstrated further on in this paper, not all speed bumps are created equal.

Scientific Pride or Prejudice.

Scientific Pride or Prejudice.

Run-based exception prediction for workflows

Events such as iteration of activities or lack of available resources can cause temporal exceptions in business processes. Exception prediction can improve the quality of workflow execution since preventive actions can be taken to reduce the occurrence of exceptions. Thus, it is crucial to provide an accurate and efficient temporal exception prediction capability for workflow management systems. In this paper, we propose a run-based exception prediction algorithm to predict temporal exceptions in workflows. The proposed algorithm is divided into two phases, design-time and run time. At design-time, all possible runs are generated from a workflow and their estimated execution time and mapping probability are calculated. At run time, temporal exceptions are predicted by analyzing the runs. Simulation experiments are performed to evaluate the proposed approach using five workflow models having different characteristics. Simulation experiments show that our approach is efficient and produces good results in prediction accuracy.

Model-Based Optimisation of Deferoxamine Chelation Therapy.

PurposeHere we show how a model-based approach may be used to provide further insight into the role of clinical and demographic covariates on the progression of iron overload. The therapeutic effect of deferoxamine is used to illustrate the application of disease modelling as a means to characterising treatment response in individual patients.MethodsSerum ferritin, demographic characteristics and individual treatment data from clinical routine practice on 27 patients affected by β-thalassaemia major were used for the purposes of this analysis. The time course of serum ferritin was described by a hierarchical nonlinear mixed effects model, in which compliance was parameterised as a covariate factor. Modelling and simulation procedures were implemented in NONMEM (7.2.0).ResultsA turnover model best described serum ferritin changes over time, with the effect of blood transfusions introduced on the ferritin conversion rate and the effect of deferoxamine on the elimination parameter (Kout) in a proportional manner. The results of the simulations showed that poor quality of execution is preferable over drug holidays; and that independently of the compliance pattern, the therapeutic intervention is not effective if >60% of the doses are missed.ConclusionsModelling of ferritin response enables characterisation of the dynamics of iron overload due to chronic transfusion. The approach can be used to support decision making in clinical practice, including personalisation of the dose for existing and novel chelating agents.Electronic supplementary materialThe online version of this article (doi:10.1007/s11095-015-1805-0) contains supplementary material, which is available to authorised users.

Lost in Translation: Which Stocks Bear the Burden to Adjust to Exchange Rates?

We examine the role of competing exchanges to restore price parity following currency shocks during 2008, a year characterized by dramatic currency volatility. Burdens of the NYSE and home market to restore price parity for cross-listed stocks are more dynamic than previously thought. Adjustments in NYSE prices are not uniform across stocks, often are less than home market adjustments, and are strongly influenced by differences in order execution quality. We quantify the effect of currency shocks using a 3-system vector error correction model, and show that currency shocks exert independent and profound effects as prices gravitate to restore price parity.

The Best Execution of Corporate Bonds

This paper investigates execution quality issues in corporate bond trading. Using an extensive sample of bond trades by insurance companies, we find that an insurance company entering a trade of similar size and on the same side for the same bond on the same day with the same dealer will receive a better price if it is a more active investor than if it is a less active investor. Trading with the dominant dealer or underwriter worsens these differentials, while greater transparency and smaller trading networks lessens these effects. Our results provide strong evidence of best execution failures in corporate bond trading.

Competition and Innovation in Option-Market Models

The equity options market has shown rapid growth and the competition among different options exchanges and trading platforms has intensified in recent years. As growth and competition in the U.S. options market continues, it becomes increasingly important for market participants to evaluate market quality in different options trading venues. A sound comparison of market quality among the competing trading markets requires a clear understanding of their specific market structures, since each venue attempts to differentiate itself with a unique value proposition. This article provides a review of the market microstructures of the major options exchanges and trading platforms in the United States. Using a sample period around the entry of the NASDAQ Options Market and the BATS Options Exchange, it analyzes the competition for trading volume in the options industry, investigates the characteristics of trades and execution costs in the major options exchanges and trading platforms, and examines the determinants of execution location for trades. It shows that during the first three months of their operations, the NASDAQ Options Market and BATS Options Exchange do not make a big impact on the trading volumes of the other options exchanges. It also finds that the NASDAQ Options Market has the smallest quoted spread and effective spread values for equity options among the seven exchanges during the first three months of its market entry. The BATS Options Exchange shows lower average trade size and average dollar trade size, and does not demonstrate competitive execution quality indicators or competitive execution costs in the earlier months of its operation. A probit analysis confirms that in spite of the increasingly complex and nuanced nature of options exchange competition, the main factors determining execution location for new market entrants are: i) posting quotes at the NBBO; and ii) being alone at the NBBO.

BROKERAGE COMMISSIONS AND MUTUAL FUND PERFORMANCE

AbstractIn this article we analyze fund‐level data on brokerage commissions paid by diversified U.S. equity mutual funds from 2001 to 2011. We find that brokerage commission per dollar traded has a positive and significant impact on mutual fund performance, indicating that funds paying premium brokerage commissions were able to improve performance net of all expenses. The positive impact of premium brokerage services (better execution quality, timely research reports, etc.) purchased through higher commissions is more pronounced during volatile market times.

Execution quality: An analysis of fulfillment errors at a retail distribution center

Purchase orders specify many aspects of a fulfillment process, including item quantity, delivery time, carton labeling, bar coding, electronic data interchange, retail ticketing, and others. These fulfillment terms are instrumental for highly optimized retail supply chains employing automation and techniques such as pack-by-store. When fulfilling a purchase order, a supplier may commit a fulfillment error, i.e., the supplier may fail to adhere to the terms specified by the retailer. The retailer may then penalize the supplier for the fulfillment error via a chargeback deduction, which reduces the supplier's revenue. We present a study of the fulfillment errors and chargebacks that occur in practice using data collected from a major retailer's distribution center. While fulfillment errors involving incorrect product quantities and delivery times have received the most attention in the literature, we find that the majority of fulfillment errors in the context we study involve documentation, bar coding, and retail ticketing. We refer to these as correctable fulfillment errors, since they are amended at the retailer's distribution center through rework. We develop a model of inventory management with correctable fulfillment errors and use the retailer's data to assess the cost of these correctable fulfillment errors to the retailer's inventory system. Our research provides guidance to managers in identifying products and suppliers that impose large fulfillment error costs as well as in setting appropriate chargebacks for fulfillment errors.

The Effect of Maker-Taker Fees on Investor Order Choice and Execution Quality in U.S. Stock Markets

Equity exchanges competing for orders are using new pricing strategies. Typically, liquidity suppliers are compensated and liquidity demanders are charged. This pricing structure is controversial because of its potential effects on investor order choice, market quality, trader welfare, and economic efficiency. I develop a theoretical model of maker-taker fees in the presence of a broker and equity exchanges and test the model empirically using order level data from SEC Rule 605. The broker charges investors a commission and endogenously chooses to route orders to a dealer or equity exchange. The exchanges keep a portion of the taker fee as profit and pass the remaining amount to the broker as a maker rebate when its order providing liquidity executes. The theoretical model predicts that as the taker fee and maker rebate increase, holding constant the amount kept as profit by the exchange: (1) the bid-ask spread declines, (2) the total trading cost increases, (3) the trader participation falls, (4) the proportion of marketable order shares rises, and (5) the non-marketable limit order fill rate increases. These implications are different from those of the model by Colliard and Foucault (2012), because my model implies that changes in the split of trading fees between liquidity suppliers and demanders affect order choice and thereby execution quality. I find empirical evidence consistent with my model’s predictions. In particular, as the taker fee and maker rebate increase, holding constant the amount kept as profit by the exchange: (1) the bid-ask spread declines, (2) the trader participation falls, (3) the proportion of marketable order shares rises, and (4) the non-marketable limit order fill rate increases.

Explicit knowledge enhances motor vigor and performance: motivation versus practice in sequence tasks.

Motor skill learning involves a practice-induced improvement in the speed and/or accuracy of a discrete movement. It is often thought that paradigms involving repetitive practice of discrete movements performed in a fixed sequence result in a further enhancement of skill beyond practice of the individual movements in a random order. Sequence-specific performance improvements could, however, arise without practice as a result of knowledge of the sequence order; knowledge could operate by either enabling advanced motor planning of the known sequence elements or by increasing overall motivation. Here, we examined how knowledge and practice contribute to performance of a sequence of movements. We found that explicit knowledge provided through instruction produced practice-independent improvements in reaction time and execution quality. These performance improvements occurred even for random elements within a partially known sequence, indicative of a general motivational effect rather than a sequence-specific effect of advanced planning. This motivational effect suggests that knowledge influences performance in a manner analogous to reward. Additionally, practice led to similar improvements in execution quality for both known and random sequences. The lack of interaction between knowledge and practice suggests that any skill acquisition occurring during discrete sequence tasks arises solely from practice of the individual movement elements, independent of their order. We conclude that performance improvements in discrete sequence tasks arise from the combination of knowledge-based motivation and sequence-independent practice; investigating this interplay between cognition and movement may facilitate a greater understanding of the acquisition of skilled behavior.