medium · Quantitative Finance microstructure-arb
A 'Highly Risk-Averse' trader in the Almgren-Chriss framework is most likely to produce an execution profile that resembles which of the following?
- A constant number of shares traded every minute (TWAP).
- A perfectly bell-shaped curve centered at the middle of the trading day.
- An aggressive front-loaded burst followed by a long tail of very small trades.
- A strategy that only executes in the last 10 minutes of the day to ensure completion.
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