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chris2.0🔱 · 2022年07月10日

这道题对应视频讲解是哪里

NO.PZ2020020202000009

问题如下:

Right after the earnings announcement, the pre-market price of ABC was $75. Concerned that the underreaction would be short-lived, Harding directed Yellow to buy 30,000 shares of ABC stock. Yellow and Harding discussed a trading strategy, knowing that ABC shares are very liquid and the order would represent only about 1% of the expected daily volume. They agreed on trading a portion of the order at the opening auction and then filling the remainder of the order after the opening auction. The strategy for filling the remaining portion of the order was to execute trades at prices close to the market price at the time the order was received.

To fill the remaining portion of the ABC order, Yellow is using:

选项:

A.

an arrival price trading strategy.

B.

a TWAP participation strategy.

C.

a VWAP participation strategy.

解释:

A is correct.

Given the trade urgency of the order, the very liquid market for ABC shares, and the small order size relative to ABC’s expected volume, Yellow is using an arrival price trading strategy that would attempt to execute the remaining shares close to market prices at the time the order is received.

我记得有视频讲解,具体在哪里?

1 个答案

吴昊_品职助教 · 2022年07月11日

嗨,从没放弃的小努力你好:


在原版书课后题讲解,case:Robert Harding,时间位置如下所示:

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!