hard · Market Microstructure market-impact
An institutional algorithm is tasked with selling 60,000 shares over 6 hours.
The historical volume profile shows that volume is highest at the open (22%) and close (24%), and lowest at midday (11%). If using a VWAP strategy, how many shares should be sold during the midday hour?
- $10,000
- $14,400
- $13,200
- $6,600
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