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过程 · 2021年02月10日

如果是expect adverse price movements

NO.PZ2020020202000010

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.

本题如果改成Harding expects adverse price movements during the trade horizon,且只看这一句的话,是应该选择arrival price吗?

另外,如果题目中说有adverse price movement的预期,是等于greater trade urgent吗?

谢谢。

2 个答案
已采纳答案

吴昊_品职助教 · 2021年02月11日

同学你好:

首先“Harding does not expect adverse price movements during the trade horizon.” 这句话的意思是non-trending。如果改成expect adverse price movements during the trade horizon,那就变成了有趋势。

A选项:scheduled algorithm是non-trending。

B选项:arrival price algorithm是trending。

C选项:liquidity seeking algorithm没有提到是否有趋势。

单看这句的话是选B。

关于你说的第二个问题,结论在基础班讲义P20页,adverse trending要交易更快,higher trade urgency。


我叫仙人涨 · 2021年08月30日

老师,但看这句话选A吧? A是non trending

吴昊_品职助教 · 2021年08月30日

嗨,努力学习的PZer你好:


同学,我针对的是上一位同学问题中的那句话。不是题干中的话术。

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