hard · Market Microstructure market-impact
A portfolio manager decides to buy 100,000 shares of TechCo at 10:00 AM when the midpoint is $50.00. The trader starts execution at 10:15 AM when the midpoint has risen to $50.05. The trader fills 80,000 shares at an average price of $50.15 and the remaining 20,000 shares are never filled, with the final price at $50.50.
What is the 'Opportunity Cost' component of the Implementation Shortfall?
- $4,000
- $10,000
- $12,000
- $9,000
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