medium · Market Microstructure market-impact
If an investor is 'Risk-Averse' in their execution, they will likely choose an algorithm that:
- Front-loads execution to minimize Delay Cost and timing risk.
- Uses only 'Passive' limit orders that never cross the spread.
- Only trades in the final 5 minutes of the day to capture the closing price.
- Spreads trading evenly over three days to minimize Market Impact.
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