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小宋宋 · 2021年04月20日

D 选项原理解释一下

NO.PZ2020042003000026

问题如下:

To unwind a large position, which of the following statements is NOT correct?

选项:

A.

If the position is unwound quickly, the trader will face large bid–offer spreads, but the potential loss from the mid-market price moving against the trader is small.

B.

When Deciding how to liquidate a large position over an n-day period, a trader might reasonably wish to minimize VaR after trading costs have been considered

C.

When a position is to be closed out over n days, more than 1/n of the position should be traded on the first day

D.

when unwind a large position over n days, As the VaR confidence level is reduced, the amounts traded per day show more variability.

解释:

考点:对Liquidity Trading Risk的理解

答案:选项D描述错误,因此本题选D

解析:

关于D选项,正确的表述为:As the VaR Confidence level is reduced, the amounts traded per day show less variability.

也就是当Confidence level降低时,每日“最优交易量”之间的差距会变小。

D 选项原理解释一下。谢谢

1 个答案

品职答疑小助手雍 · 2021年04月20日

嗨,努力学习的PZer你好:


随着confidence level降低,每日“最优交易量”之间的差距会变小。

比如用5天unwind,95的confidence level下,每日最优交易量是48.9,30,14.1,5.1,1.9。

那90%的confidence level下,这5天每日的最优交易量是45,29.1,15.6,7,3.3。也可以理解成每日最优交易量组成的这个数列的标准差变小了。

这个知识点在视频“Unwinding a Position Optimally & Other Measures of Market Liquidity”里讲过的,可以去听一下基础班课程。

----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

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