medium · Market Microstructure
A trader must sell 48,000 shares over 6 hourly intervals. Based on a historical U-shaped volume profile, the volume percentages are: 25% (H1), 15% (H2), 10% (H3), 10% (H4), 15% (H5), 25% (H6).
Using a VWAP algorithm, how many shares should be traded in Hour 3?
- 8,000
- 12,000
- 2,400
- 4,800
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