medium · Market Microstructure
An institutional trader is using a VWAP algorithm to execute a buy. If the temporary impact decay is very slow (low resiliency), the trader should logically:
- Speed up the execution to finish before the price moves more.
- Slow down the execution to allow the book to recover.
- Increase the participation rate to capture the current price.
- Switch to a market-on-close (MOC) order.
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