hard · Market Microstructure
An institutional trader decides to buy 50,000 shares of a stock at 2:00 PM when the midpoint is 80.00. Execution begins at2:15PM when the midpoint has drifted to80.10. The trader fills 40,000 shares at an average price of 80.25 and cancels the remaining 10,000 shares when the price reaches 80.50.
What is the total Implementation Shortfall (IS) in dollars?
- $15,000
- $11,000
- $25,000
- $10,000
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