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Executing Canadian Blocks

Download the summary paper here

A recent study concluded that market impact is rife in the block-favoring Canadian market, and that where you execute large trades can have a significant impact on performance. Volatility was shown to be, on average, 150% higher for other brokers relative to Liquidnet in the one minute prior to a block execution. Clearly, minimizing this market impact consistently is a key factor in improving block trading performance over the long term. 

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