Institutional equity traders typically perform transactions involving tens of thousands of shares. Many of the trades they execute on the open market drive the price of the equity up or down, causing them to pay more for an equity that they are buying or to receive less for one that they are selling. To reduce the market impact of large trades, these investors turn to alternative trading systems such as Liquidnet, in which trades are executed anonymously.
To ensure the best executions and provide in-depth analytical tools for their clients, Liquidnet developed Execution Analyzer, a post-trade analysis tool that compares the order execution price with the market trend at a short time scale. They dramatically reduced development time by using MATLAB®.
“We wanted to provide this analytical tool in our system, and we didn’t want development to take months,” says Shelly Shi, quantitative analyst at Liquidnet. “MATLAB and its companion toolboxes offer ready-made database access and data analysis capabilities, so it was the fastest way to develop a complete solution for evaluating transactions performed on Liquidnet.”