Suppose you want to sell 100,000 shares of stock XYZ on their earnings announcement day. Your broker provides you some impact-driven type algos. On a normal day, the trading volume is around 500,000 for XYZ. On a typical earnings announcement day, the volume can double or treble but it always has a similar distribution of trading volume across time intervals. Which of the following statement is correct?( find the statements in the attachd picture)
Suppose you want to sell 100,000 shares of stock XYZ on their earnings announcement day. Your broker provides you some impact-driven type algos. On a normal day, the trading volume is around 500,000 for XYZ. On a typical earnings announcement day, the volume can double or treble but it always has a similar distribution of trading volume across time intervals. Which of the following statement is correct?( find the statements in the attachd picture)
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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Suppose you want to sell 100,000 shares of stock XYZ on their earnings announcement day. Your broker provides you some impact-driven type algos. On a normal day, the trading volume is around 500,000 for XYZ. On a typical earnings announcement day, the volume can double or treble but it always has a similar distribution of trading volume across time intervals. Which of the following statement is correct?( find the statements in the attachd picture)
Transcribed Image Text:O A If you use a VWAP algo for the day and set your historical volume profile based on a normal trading day, then you will finish selling 100,000 shares a lot earlier than expected.
O B.
If you use a 3-hour uniform TWAP algo, then you should have executed 25% of the order after half an hour.
If you use a POV aigo with a 20% participation rate, then you will finish selling 100,000 shares a lot earlier than expected.
O C.
None of the above.
D.
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