medium · Market Microstructure market-impact
An institutional fund decides to buy 100,000 shares when the midpoint is $80.00. The trader waits 20 minutes to start, at which point the midpoint is $80.15. The order is filled at an average price of $80.25, but 10,000 shares remain unfilled when the order is cancelled at a final midpoint of $80.50.
What is the 'Delay Cost' component of the implementation shortfall?
- $15,000
- $13,500
- $9,000
- $25,000
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