easy · Quantitative Finance microstructure-arb
An institutional fund needs to execute a position of 50,000 shares in a stock with a current Bid of 99.95 and an Ask of 100.05.
If the trader crosses the spread using a market order for the entire buy and then immediately liquidates with a market sell, what is the total round-trip transaction cost ignoring fees?
- $2,500
- $10,000
- $500
- $5,000
Sign up free to see the explanation and track your rank →
More Quantitative Finance microstructure-arb practice
- Two assets are 'cointegrated'. What does this imply for a pairs-trading strategy that 'cor
- Which component of the bid-ask spread compensates the market maker for the risk of trading
- A trader is analyzing two non-stationary price series that w… — Which statistical property
- If the trader increases their risk aversion λ, what is the effect on the execution traject
- If a fund executes a full turnover of a $10 million position using market orders, what is
- In an optimal execution framework like Almgren-Chriss, a trader who chooses to execute a l
- According to Roll's effective spread estimator, what is the implied effective bid-ask spre
- What is the half-life of a deviation in the spread, and what does this imply for the strat