hard · Market Microstructure market-impact
At 2:00 PM, a portfolio manager decides to buy 100,000 shares of AlphaCorp when the midpoint is 50.00. The trader starts an algorithm at 2:10 PM when the midpoint has drifted to 50.10. The algorithm fills 80,000 shares at an average price of 50.25 before the remaining 20,000 shares are cancelled at 4:00 PM with the stock at 50.60.
What is the delay cost component of the Implementation Shortfall?
- $25,000
- $10,000
- $60,000
- $12,000
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