medium · Market Microstructure hft
An investment manager decides to buy 10,000 shares of a stock when the midpoint is 50.00. The trader executes 8,000 shares at an average price of 50.15 and the remaining 2,000 shares go unfilled as the price moves to 50.40.
Using the implementation shortfall (IS) framework, what is the opportunity cost component of the shortfall?
- 400
- 800
- 2,000
- 1,200
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