hard · Market Microstructure mmf-core
An institutional trader identifies a buy imbalance of 500,000 shares in the closing auction for a stock currently trading at $42.00 with an indicative clearing price of $42.50.
If the trader provides liquidity by selling at $42.45 in the auction, what is the primary risk to their profit if they intend to cover the position the next morning?
- Walking the book
- Maker-taker rebates
- Time precedence risk
- Information persistence
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