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shirley_hd · 2020年02月14日

问一道题:NO.PZ2020020202000001

问题如下:

Which of the following statements regarding the execution algorithms is incorrect?

选项:

A.

POV algorithm trades a predetermined number of shares within the specified time interval.

B.

VWAP algorithms slice the order into smaller amounts to send to the market following a time slicing schedule based on historical intraday volume profiles.

C.

TWAP algorithms slice the order into smaller amounts to send to the market following an equal-weighted time schedule.

解释:

A is correct. VWAP and TWAP algorithms follow a time-specified schedule, trading a predetermined number of shares within the specified time interval, rather than the POV algorithm. The other two statements are both correct.

A选项:POV algorithm trades a predetermined number of shares within the specified time interval.


有两个问题:

1、如果把number改成percentage是否正确?POV应该是确定的比例而不是股数吧;

2、讲义40页最后一句话,They may not complete the order within the time period specified,是否也是说会有一个时间段的概念呢?

1 个答案
已采纳答案

吴昊_品职助教 · 2020年02月14日

A选项错在后面within the specified time interval.

POV只和volume有关,和时间没有关系,交易没有时限要求。TWAP以及VWAP要求在规定的时间内完成一定交易。