NO.PZ202110280100000302
问题如下：
Determine which trades are most likely to exhibit the greatest execution risk
and market impact. Justify each selection.
选项：
解释：
The XYZ trade exhibits the greatest execution risk because XYZ has the highest price volatility of the three stocks. Execution risk is the risk of an adverse price movement occurring over the trading horizon owing to a change in the fundamental value of the security or because of trading-induced volatility. Execution risk is often proxied by price volatility. Securities with higher levels of price volatility have greater exposure to execution risk than securities with lower price volatility.
The ABC trade exhibits the greatest market impact risk as it represents the highest percentage of ADV (45,000 / 195,000 = 23.07%). The permanent component of price change associated with trading an order is the market price impact caused by the information content of the trade. The larger the size of the trade expressed as a percentage of ADV, the larger the expected market impact cost.
1 这个题题眼很容易看出来，市场影响，从订单大小交易速度快慢判断，这个题要是在说交易速度快就更能证明了，以下是我的答案,看可行？
ABC has greatest marke impact.
its order size is large relative to average daily volume，which is 23%. meanwhile, it has a wide bid ask spread. if trading the stock ABC quickly, it must brings marke impact.
XYZ has greatest execution risk.
the price volatility of XYZ is high. it may bring execution risk due to slowly trading.
2 另外发现这次原版书的课后题好像变了一些，肯定是要做的，那被删掉的课后题（去年还有）这个还需要在做下吗？
