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Lich · 2023年08月20日

请问三个选项怎么理解好

* 问题详情,请 查看题干

NO.PZ202206140600000402

问题如下:

Which trading option is most appropriate for selling securities from the new technology sector of the UPX Fund?

选项:

A.Option 1 B.Option 2 C.Option 3

解释:

Solution

B is correct. A scheduled algorithm over the eight-week period is the best option for selling the securities. There is sufficient liquidity in the market, because on any given day, the amount sold will be approximately 0.5% of the daily volume: 20% daily volume ÷ (5 days × 8 weeks) = 0.5%. The price impact of trading will be minimal, and there is no trade urgency given the time horizon for liquidating the shares.

A is incorrect. Given that the trade can be executed over a two-month period, there is no reason to incur the expense of having a broker act as a principal trader for all the shares. If there were a need to trade the shares quickly, this kind of strategy could be warranted.

C is incorrect. A dark pool is more appropriate when a given trade can reveal valuable information about the security being traded. In this case, the trading has no information value and needs to eventually be fully executed; in addition, a dark pool does not guarantee execution.

A是说找个broker虽然可以交易出去但是需要额外一笔费用么

C是说Dark pool可能交易不出去,也没有额外的特别信息reveal么

且B的交易量占市场份额不多?

1 个答案

笛子_品职助教 · 2023年08月21日

嗨,从没放弃的小努力你好:


A是说找个broker虽然可以交易出去但是需要额外一笔费用么

Hello,亲爱的同学~

我们看这道题的信息:

、、


Option1是指做市商交易。并不是可以交易出去但需要额外一笔费用。这里除了支付做市商应得的bid ask spread,并没有额外费用。

一般比较紧急的大交易,才会首选做市商。因为单子大,可能没有足够的交易对手,这时候可以让做市商接下来。

本题在8个星期内慢慢卖,不是很紧急。不需要选option 1


C是说Dark pool可能交易不出去,也没有额外的特别信息reveal么

暗池是可能交易不出去,好处是交易信息不会泄露。

本题并没有说,保证交易信息不被泄露的需求。

8个星期卖出20%,慢慢卖出就可以了。




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