开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

LouisLiu · 2024年07月04日

CFA III, Trading 官网习题

老师好,官网习题有道题看不懂,做错了不知道错在哪:

Morrison is discussing trading trends and makes the following observation: “In recent years, average trade sizes appear to be increasing, and in emerging markets, a similar volume of equity trading is now taking place on dark pools as on ‘lit’ exchanges.”


Shui comments, “For exchange-traded derivatives, market transparency is similar to that of exchange-traded equities, with trade price, size, quote, and depth of book all publicly available. I believe we should explore algorithmic trading in futures markets, where it is more evolved than it is for options markets.”


Mulaney adds, “We can also explore the use of over-the-counter (OTC) derivatives. Liquidity has increased for OTC instruments, even for those not suited to central clearing, and average trade size is still relatively small, which could align well with the needs of the fund.”


Whose comments at the weekend strategy meeting are most likely accurate?

A.Shui B.Mulaney C.Morrison


A is correct. Shui is correct in her comments; for exchange-traded derivatives, market transparency is similar to that of exchange-traded equities, with trade price, size, quote, and depth of book all publicly available. In addition, algorithmic trading is more evolved in futures markets than in options markets.

B is incorrect. Mulaney indicates that liquidity has increased for OTC instruments not suited for central clearing, whereas it has actually decreased. In addition, trade sizes for OTC derivatives are relatively large.

C is incorrect. Morrison indicates that average trade sizes have increased, whereas they have generally decreased as participants break down their trades into smaller pieces that they either trade sequentially or simultaneously across different venues. In addition, Morrison indicates that a similar volume of equity trading in emerging markets is taking place in dark pools as on traditional exchanges, whereas the volume in dark pools is actually minimal in comparison.


1 个答案
已采纳答案

吴昊_品职助教 · 2024年07月04日

嗨,爱思考的PZer你好:


1、Morrison认为:近年来,平均交易规模似乎在增加,在新兴市场中,暗池和交易所中有着类似规模的股票交易。

这句话是错误的。因为在新兴市场中,相较于传统交易所,暗池的交易量是很小的(minimal)2、Shui认为:对于交易所交易的衍生品,市场透明度类似于交易所交易的股票,交易价格、规模、报价和订单簿的深度都是公开的。我认为我们应该探索在期货市场中进行算法交易,因为与期权市场相比,它在期货市场中更成熟。这句话是完全正确的。

3、Mulaney认为:我们还可以探索使用场外(OTC)衍生品。即使对于那些不适合集中清算的OTC工具,流动性也增加了,并且平均交易规模仍然相对较小,这可能符合基金的需求。

他的观点也是错误的,对于不适合中央清算的OTC工具,流动性是下降的,而不是上升的。此外,OTC衍生品的交易规模相对较大,而不是相对较小。

----------------------------------------------
努力的时光都是限量版,加油!

  • 1

    回答
  • 0

    关注
  • 307

    浏览
相关问题