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xiaobaiybz · 2024年06月11日

交易越紧急不是交易执行风险越高吗?谢谢老师

NO.PZ2022122701000001

问题如下:

Harding begins the meeting by asking Yellow about factors thataffect the selection of an appropriate trading strategy. Yellow tells Harding:

Statement 1: Trading withgreater urgency results in lower execution risk.

Statement 2: Trading largersize orders with higher trade urgency reduces market impact.

Statement 3: Securities withhigh rates of alpha decay require less aggressive trading to realize alpha.

Which of Yellow’s statementsregarding the factors affecting the selection of a trading strategy is correct?

选项:

A.

Statement 1

B.

Statement 2

C.

Statement 3

解释:

Correct Answer: A

Greater trade urgency results in lower execution risk because the orderis executed over a shorter period of time, which decreases the time the tradeis exposed to price volatility and changing market conditions. In contrast,lower trade urgency results in higher execution risk because the order isexecuted over a longer period of time, which increases the time the trade is exposedto price volatility and changing market conditions.

交易越紧急不是交易执行风险越高吗?这题为什么选a呢?谢谢老师

1 个答案

吴昊_品职助教 · 2024年06月12日

嗨,从没放弃的小努力你好:


execution risk可以直接等价于波动率(不确定性),影响execution risk的是交易速度,交易慢导致的风险。

交易的越慢,execution risk越大;交易越快,execution risk越小,不确定性越小。

statement1:交易得越紧急,导致execution risk更小,这句话是对的,所以A是对的。

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