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Ruthlessbaby · 2020年02月24日

问一道题:NO.PZ2020020202000007

问题如下:

Harding begins the meeting by asking Yellow about factors that affect the selection of an appropriate trading strategy. Yellow tells Harding:
Statement 1 Trading with greater urgency results in lower execution risk.
Statement 2 Trading larger size orders with higher trade urgency reduces market impact.
Statement 3 Securities with high rates of alpha decay require less aggressive trading to realize alpha.

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

选项:

A.

Statement 1

B.

Statement 2

C.

Statement 3

解释:

A is correct.

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

不是交易越紧急,对市场影响越大,即执行风险越大吗?为什么反而执行风险越小

1 个答案
已采纳答案

吴昊_品职助教 · 2020年02月24日

执行风险可以直接理解成未来交易的不确定性,与市场波动σ有关。只有在交易慢的情况下,执行风险才会越大,因为市场波动对我的影响越大。

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