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TULIPDUKE · 2020年06月10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.

C为啥错了

1 个答案

吴昊_品职助教 · 2020年06月10日

statement3,high rate of alpha decay,说明alpha衰减的速度很快,那么要抓住转瞬即逝的alpha,就需要更快速地进行交易,交易得更为激进,而不是less aggressive。所以statement 3正好说反了,不正确。


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