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奔跑的咸鱼 · 2020年12月01日

问一道题:NO.PZ2020020202000010 [ CFA III ]

问题如下:

Harding and Yellow then shift their conversation to XYZ Corp. Harding tells Yellow that, after extensive research, he would like to utilize an algorithm to purchase some shares that are relatively liquid. When building the portfolio’s position in XYZ, Harding’s priority is to minimize the trade’s market impact to avoid conveying information to market participants. Additionally, Harding does not expect adverse price movements during the trade horizon.

What type of algorithm should be used to purchase the XYZ shares given Harding’s priority in building the XYZ position and his belief about potential price movements?

选项:

A.

Scheduled algorithm

B.

Arrival price algorithm

C.

Opportunistic algorithm

解释:

A is correct.

XYZ shares are relatively liquid, and Harding has prioritized minimizing the trade’s market impact to avoid conveying information to market participants. Harding also does not expect adverse price movements during the trade horizon. Scheduled algorithms are appropriate for orders in which portfolio managers or traders do not have expectations for adverse price movement during the trade horizon. These algorithms are also used by portfolio managers and traders who have greater risk tolerance for longer execution time periods and are more concerned with minimizing market impact. Scheduled algorithms are often appropriate when the order size is relatively small (e.g., no more than 5%–10% of expected volume), the security is relatively liquid, or the orders are part of a risk-balanced basket and trading all orders at a similar pace will maintain the risk balance.

请问一下,提干说到了要防止信息泄露给大众,可是scheduled方法没有这一条呀

1 个答案

吴昊_品职助教 · 2020年12月01日

同学你好:

.“minimize the trade’s market impact to avoid conveying information” 降低市场冲击,就是为了减少信息泄露。两者并不矛盾的。

Anne · 2024年02月06日

C选项才能不泄露信息,是不是应该选C?