Jun

22

Oeyvind Schanke runs Norges Bank Investment Management in Oslo. They own about 1.3 % of the global equity market apparently.

The Singapore business news carried an interesting quote from him:

"We could choose to wait four days before we execute in the hope that during the course of these four days we will find a natural counterparty to cross this up with".

The article was bemoaning high frequency front running. Of note is that the comment made by Mr. Schanke is eminently testable. They believe that opportunity costs are less than getting stuffed by front running.

What is the question they have asked? Likely something resembling:

Given an expected high frequency rip off factor on our execution, how many days (or some other time period) is it best to wait that allows us to benefit from the normal variability of the market in question.


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