Execution Quality in the NYSE Market

February 21, 2007

Abstract

Boston, MA, USA February 21, 2007

An extensive study from Celent compares and ranks execution venues for NYSE stocks.

In a study that analyzes data for over 3 billion orders and over 200 billion shares, Celent compares and ranks the leading market centers. In terms of prices achieved for incoming orders, Van der Moolen was ranked first among NYSE specialists, while E*Trade ranked highest among major market makers.

According to Octavio Marenzi, author of the study, "in general, NYSE specialists dominated in terms of their market share, but were slower and less likely to provide good prices than market makers."

Price Rank NYSE Specialist
1 Van der Moolen
2 La Branche
3 PSG
Source: Celent analysis

Figure 1: Frequency of Price Improvement by Type of Market Center

A table of contents is available online. The 36-page report contains 23 charts and eight tables.

Members of Celent's Institutional Securities & Investments and Retail Securities & Investments research services can download the report electronically by clicking on the icon to the left.  Non-members should contact info@celent.com for more information.  

Price Rank Major Market Maker
1 E*Trade
2 Citadel Derivatives
3 Automated Trading Desk
Source: Celent analysis

Celent is a research and advisory firm dedicated to helping financial institutions formulate comprehensive business and technology strategies. Celent publishes reports identifying trends and best practices in financial services technology and conducts consulting engagements for financial institutions looking to use technology to enhance existing business processes or launch new business strategies. With a team of internationally based analysts, Celent is uniquely positioned to offer strategic advice and market insights on a global basis. Celent is a member of the Oliver Wyman Group, which is a wholly-owned operating unit of Marsh & McLennan Companies [NYSE: MMC].

Media Contacts

North America
Michele Pace
mpace@celent.com
Tel: +1 212 345 1366

Europe (London)
Chris Williams
cwilliams@celent.com
Tel: +44 (0)782 448 3336

Asia (Tokyo)
Yumi Nagaoka
ynagaoka@celent.com
Tel.: +81 3 3500 3023

Table of Contents

Boston, MA, USA February 21, 2007

Executive Summary 3
Background 4
  Changes in Methodology 4
  Data Used in Report 4
  Caveats About Data 5
Measuring Execution Quality 7
  Speed 7
  Price 7
Overview of Market Data 9
  Summary Statistics 9
Speed 14
Price 21
Ranking by Type of Market Center 31
  NYSE Specialists 31
  Major Market Makers 31
  ECNs 32
Comparison and Ranking 33
Objectivity and Methodology 35

Sign in to download reports and access personalized information