hard · Market Microstructure
An institutional trader executes a buy market order for 10,000 shares at a price of $75.25. At the time of execution, the National Best Bid and Offer (NBBO) is $75.18 / $75.26. Five minutes post-trade, the midpoint has shifted to $75.32.
Based on the transaction cost measurement framework, what is the backed-out adverse selection component of the spread per share?
- $0.10
- $0.20
- $0.06
- $0.14
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