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toffee · 2023年05月07日

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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.

可以不?Minchow is likely to use TWAP algorithm for the Dynopax sell order 

he expected market is non trending, which is suitable for scheduled algorithm.

the sell order is small and lightly-traded, which has a minimized market impact if trading through the day.

he wanted to execute sell order completely in one day. TWAP is most suitable. the others may not be executed completely in one day.

1 个答案

pzqa015 · 2023年05月08日

嗨,努力学习的PZer你好:


可以的

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加油吧,让我们一起遇见更好的自己!

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NO.PZ202110280100000501 问题如下 termine whialgorithm Minchow is likely to use forthe nopsell orr. Justify yourresponse. RegarngBean’s alternatives, VWanTWalgorithms release orrs to the marketfollowing a time-specifieschele, trang a preterminenumber of shareswithin the specifietime interv(e.g., one y). Following a fixescheleVWalgorithms , however, mnot optimfor certain stocks becausesualgorithms mnot complete the orr in cases where volumes are low.Furthermore, while POV algorithms incorporate real-time volume following (orchasing) volumes, they mnot complete the orr within the time periospecifieTWAPalgorithms, whisenthe same number of shares anthe same percentage of theorr to train eatime perio will help ensure the specifienumber ofshares are executewithin the specifietime perio Given Bean’s stateriority of complete execution in one y, he is likely to use a TWalgorithmfor the nopsell orr. 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orr(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.

2022-06-06 22:19 1 · 回答

NO.PZ202110280100000501 看讲义,只有TWAP明确了可以保证所有都能成交,VWAP没有提到这一个优点。 但李老师在视频的讲解当中,有提到这两种方式都能够确保所有交易成交。

2022-03-13 13:33 1 · 回答