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City University of New York (CUNY)

Theses/Dissertations

2007

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Essays On Modeling Of Blind Principal Bid Basket Trading Cost, Tin Shan Suen Jan 2007

Essays On Modeling Of Blind Principal Bid Basket Trading Cost, Tin Shan Suen

Dissertations, Theses, and Capstone Projects

The following is an executive summary of three essays on the modeling of the blind principal bid (BPB) basket trading cost, each focusing on different issues. The first essay, "How does a liquidity provider price a blind principal bid basket - An empirical perspective," investigates various determinants of the blind principal bid basket trading cost. I extend Kavajecz and Keim's (2005) model by identifying the price determinants based on the liquidity provider's behavior. The model developed in the first essay, however, is not a structural model because it is not based on any theoretical framework. That is addressed in the …