medium · Market Microstructure market-impact
A portfolio manager decides to buy 40,000 shares of a security when the midpoint is $50.00. The trader executes 30,000 shares at an average price of $50.12. The order is then cancelled when the midpoint reaches $50.20.
What is the Opportunity Cost component of the Implementation Shortfall?
- $5,600
- $800
- $2,000
- $3,600
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
- Using a VWAP algorithm, how many shares should be traded in Hour 3?
- 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?