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evali · 2023年01月30日

Arrival Cost 是 trading cost 的别名？

  1. CFA III
  2. Trading&Performance

NO.PZ2020020202000014

问题如下：

The next day, Harding instructs Yellow to revisit their research on BYYP, Inc. Yellow’s research leads her to believe that its shares are undervalued. She shares her research with Harding, and at 10 a.m. he instructs her to buy 120,000 shares when the price is $40.00 using a limit order of $42.00.
The buy-side trader releases the order for market execution when the price is $40.50. The only fee is a commission of $0.02 per share. By the end of the trading day, 90,000 shares of the order had been purchased, and BYYP closes at $42.50. The trade was executed at an average price of $41.42. Details about the executed trades are presented in Exhibit 1.

The arrival cost for purchasing the 90,000 shares of BYYP is:

选项：

A.

164.4 bp.

B.

227.2 bp.

C.

355.0 bp.

解释：

B is correct.

The arrival cost is calculated as:
Arrival cost (bp) =Side×P‾−P0P0×104bp=+1×41.42−40.5040.50×104bp=227.2bpSide\times\frac{\overline P-P_0}{P_0}\times10^4bp=+1\times\frac{41.42-40.50}{40.50}\times10^4bp=227.2bp

根据implemention shortfall/ expanded implemention shortfall 也只有这几类： Execution cost; Delay cost; Trading cost; Opportunity cost, Fee. 这个arrival cost 是等价于trading cost 吗？



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吴昊_品职助教 · 2023年01月30日

嗨，从没放弃的小努力你好：


Trading这门课中，有两大类计算。一类是IS，另一类是trade cost。

1、IS和expanded IS中包含对成本的分解，会牵涉到Execution cost; Delay cost; Trading cost; Opportunity cost, Fee，如下图公式拆解。

2、第二类是trade cost。

trade cost是一个大类，代表的是trade price和benchmark price之间的比较，benchmark不同，可以有不同的trade cost。当benchmark是arrival price，算出来的trade cost是arrival cost。

arrival cost代入下列红框公式即可，P代表average price，P0代表arrival price。side代表买或卖的方向，买取+1，卖取-1。参考基础班讲义P74页。

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努力的时光都是限量版，加油！

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NO.PZ2020020202000014 问题如下 The next y, Harng instructs Yellow to revisit their researon BYYP, InYellow’s researlea her to believe thits shares are unrvalue She shares her researwith Harng, an10 a.m. he instructs her to buy 120,000 shares when the priis $40.00 using a limit orr of $42.00.The buy-si trar releases the orr for market execution when the priis $40.50. The only fee is a commission of $0.02 per share. the enof the trang y, 90,000 shares of the orr hbeen purchase anBYYP closes $42.50. The tra wexecuteaverage priof $41.42. tails about the executetras are presentein Exhibit 1.The arrivcost for purchasing the 90,000 shares of BYYP is: A.164.4 bp. B.227.2 bp. C.355.0 bp. B is correct.The arrivcost is calculateas:Arrivcost (bp) =Si×P‾−P0P0×104bp=+1×41.42−40.5040.50×104bp=227.2bpSi\times\frac{\overline P-P_0}{P_0}\times10^4bp=+1\times\frac{41.42-40.50}{40.50}\times10^4bp=227.2bpSi×P0​P−P0​​×104bp=+1×40.5041.42−40.50​×104bp=227.2 请问为什么这里的referenprice是40.5，但是后面算implementation shortfall时referenprice就是用的40呢？应该从什么角度去理解可以记住呀？谢谢

2024-05-08 07:29 1 · 回答

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NO.PZ2020020202000014 227.2 bp. 355.0 bp. B is correct. The arrivcost is calculateas: Arrivcost (bp) = Si×P‾−P0P0×104bp=+1×41.42−40.5040.50×104bp=227.2bpSi\times\frac{\overline P-P_0}{P_0}\times10^4bp=+1\times\frac{41.42-40.50}{40.50}\times10^4bp=227.2bpSi×P0​P−P0​​×104bp=+1×40.5041.42−40.50​×104bp=227.2arrivprice是投资传达给交易员时的价格，还是交易员传达给市场时的价格？

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