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肉松小蛋卷 · 2023年04月04日

关于Effective Spreads用什么价格计算

NO.PZ2021101401000030

问题如下:

Bloomfield tells Riley that he noticed trades of 500 shares of BYYP stock were executed every 20 minutes for an hour. Bloomfield saw the same pattern of trading in the stock during the previous trading day. He instructs Riley to submit an order to purchase BYYP shares on the assumption that a trader seeks liquidity and is executing a large buy order by breaking it into pieces. The prices of these trades and the best bids and offers in the market when the BYYP trades occurred are presented in Exhibit 1.


Based on Exhibit 1, the average effective spread of the BYYP trades is closest to:

选项:

A.

$0.018.

B.

$0.035.

C.

$0.070.

解释:

B is correct.

The effective spread is calculated as follows:

Effective spread = 2 × (Trade price - Midpoint of market at time of order entry)
Effective spread of Trade 1 = 2 × ( $41.50 - $41.475) =$0.05
Effective spread of Trade 2 = 2 × ( $41.75 - $41.74) = $0.02
Average Effective Spread = ( $0.05 + $0.02) / 2 = $0.035

老师在Portfolio Management Module7 强化班串讲中讲到,Effective spread始以成交时的价格算midquote作为benchmark。为什么这题答案解析中,effective spreads说的是以entry的报价来计算呢?

1 个答案

星星_品职助教 · 2023年04月04日

同学你好,

midquote是进入市场时(best)bid和ask的平均值,并不是成交值的概念。

成交值是根据投资者的买卖方向确定的trade price,如本题投资者是买方,trade price就对应ask price,分别为41.5和41.75.

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