NO.PZ202110280100000501
问题如下：
Determine which algorithm Minchow is likely to use for the Dynopax sell order. Justify your response.
选项：
解释：
Regarding Bean’s alternatives, VWAP and TWAP algorithms release orders to the market following a time-specified schedule, trading a predetermined number of shares within the specified time interval (e.g., one day). Following a fixed schedule as VWAP algorithms do, however, may not be optimal for certain stocks because such algorithms may not complete the order in cases where volumes are low. Furthermore, while POV algorithms incorporate real-time volume by following (or chasing) volumes, they may not complete the order within the time period specified.
TWAP algorithms, which send the same number of shares and the same percentage of the order to be traded in each time period, will help ensure the specified number of shares are executed within the specified time period. Given Bean’s stated priority of complete execution in one day, he is likely to use a TWAP algorithm for the Dynopax sell order.
按照上课老李讲的VWAP, 比如参照历史上9:30 到10:00 这半个小时每隔5分钟交易一次, 计算出这6次的平均成交量比值,假设为(1:1:2:3:4:5), 假设我们现在要下单1600share股票,就按照历史比例下单6笔order(100,100,200,300,400,500), 这是可以完成的啊.
POV之所以完成不了是因为完全没有考虑我们自己的目标成交share是多少,仅仅根据历史成交量来下单.
