medium · Market Microstructure
An institutional algorithm is selling 200,000 shares of a stock. The trade is executed at an average price of 44.80. Before the order, the stock was 45.00. Five minutes after the final slice of the order is filled, the price stabilizes at $44.90.
What was the permanent market impact per share?
- $0.10
- $0.20
- $0.05
- $0.15
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