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yan · 2024年11月12日

画线部分帮忙解释一下，谢谢

  1. CFA III
  2. Trading&Performance

* 问题详情，请 查看题干

NO.PZ202110280100000501

问题如下：

Determine which algorithm Minchow is likely to use for the Dynopax sell order. Justify your response.

解释：

Regarding Bean’s alternatives, VWAP and TWAP algorithms release orders to the market following a time-specified schedule, trading a predetermined number of shares within the specified time interval (e.g., one day). Following a fixed schedule as VWAP algorithms do, however, may not be optimal for certain stocks because such algorithms may not complete the order in cases where volumes are low. Furthermore, while POV algorithms incorporate real-time volume by following (or chasing) volumes, they may not complete the order within the time period specified.

TWAP algorithms, which send the same number of shares and the same percentage of the order to be traded in each time period, will help ensure the specified number of shares are executed within the specified time period. Given Bean’s stated priority of complete execution in one day, he is likely to use a TWAP algorithm for the Dynopax sell order.

画线部分帮忙解释一下，谢谢


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1 个答案

吴昊_品职助教 · 2024年11月13日

嗨，爱思考的PZer你好：


1、虽然POV算法的成交量是依据实时成交量的，但它们可能无法在规定的时间段内完成订单。

POV算法是指其成交量为市场成交量的占比，但是未考虑到成交价，也没有考虑到在交易期内是否能买全。

2、时间加权平均价格（TWAP）算法会在每个时间段内发送相同数量的股票以及相同比例的待交易订单，这将有助于确保在规定的时间段内执行完规定数量的股票。TWAP在大单拆小的过程中，是equal-weighted，能够确保成交。

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NO.PZ202110280100000501 问题如下 termine whialgorithm Minchow is likely to use forthe nopsell orr. Justify yourresponse. RegarngBean’s alternatives, VWanTWalgorithms release orrs to the marketfollowing a time-specifieschele, trang a preterminenumber of shareswithin the specifietime interv(e.g., one y). Following a fixescheleVWalgorithms , however, mnot optimfor certain stocks becausesualgorithms mnot complete the orr in cases where volumes are low.Furthermore, while POV algorithms incorporate real-time volume following (orchasing) volumes, they mnot complete the orr within the time periospecifieTWAPalgorithms, whisenthe same number of shares anthe same percentage of theorr to train eatime perio will help ensure the specifienumber ofshares are executewithin the specifietime perio Given Bean’s stateriority of complete execution in one y, he is likely to use a TWalgorithmfor the nopsell orr. 可以不？Minchow is likely to use TWalgorithm for the nopsell orr he expectemarket is non trenng, whiis suitable for schelealgorithm.the sell orr is small anlightly-tra whiha minimizemarket impaif trang through the y.he wanteto execute sell orr completely in one y. TWis most suitable. the others mnot executecompletely in one y.

2023-05-07 17:26 1 · 回答

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2022-06-06 22:19 1 · 回答

NO.PZ202110280100000501 看讲义，只有TWAP明确了可以保证所有都能成交，VWAP没有提到这一个优点。 但李老师在视频的讲解当中，有提到这两种方式都能够确保所有交易成交。

2022-03-13 13:33 1 · 回答