medium · Market Microstructure market-impact
A trader must sell 48,000 shares over 6 hourly intervals. Based on a historical U-shaped volume profile, the volume percentages are: 25% (H1), 15% (H2), 10% (H3), 10% (H4), 15% (H5), 25% (H6).
Using a VWAP algorithm, how many shares should be traded in Hour 3?
- 8,000
- 12,000
- 2,400
- 4,800
Sign up free to see the explanation and track your rank →
More Market Microstructure market-impact practice
- If 10,000 shares are eventually bought at an average price of $80.15, what is the delay co
- A trader places a large buy order for 50,000 shares of a sma… — How would a microstructure
- How should the VWAP algorithm adjust its execution rate for the remaining 5.5 hours to sta
- How will their optimal trajectory differ from a risk-neutral trader?
- If the trader's risk aversion doubles to lambda = 0.002 while the stock's volatility and l
- The historical volume profile shows that volume is highest at the open (22%) and close (24
- What is the 'Opportunity Cost' component of the Implementation Shortfall?
- Consider an Almgren-Chriss optimal execution scenario. If a trader's risk aversion paramet