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Jain's Study on Intermarket Sweep Orders to be published in Journal of Financial and Quantitative Analysis

For release:  February 4, 2011

In a study of how informed traders execute their large orders in automated financial markets with nanosecond latency, Prof. P.K, Jain and his co-authors discover that a new type of order called an inter-market sweep order (ISO) has become the preferred choice of institutional traders. An ISO is a exceptional limit order that automatically executes in a designated market center without being re-routed to the exchange with the best quotes per the National Market System regulation (Reg NMS). ISO trades have significantly larger information share  and post trade returns even though they are more costly to execute ex-ante. The study titled "Clean Sweep: Informed Trading through Intermarket Sweep Orders," coauthored with Sugato Chakravarty, James Upson, and Robert Wood, has been accepted for publication in the A+ rated Journal of Financial and Quantitative Analysis (JFQA).

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