Trading Strategies
The permanent component of price change associated with a trade is the information content of the trade.
Trade Execution
In principal trades the executing broker assumes the trading risk and quotes it into their spread. In agency trades the broke is only an agent.
In recent years average trade sizes have decreased.
Trade Cost Measurement
\[ \text{Implementation Shortfall} = \text{Paper Return} - \text{Actual Return} \]
Where paper return is the return that would have occurred at the market price the moment the investment decision was made.
Trade Governance
MiFID II regulates client trade execution in the EU. It prohibits soft dollar arrangements.