NO.PZ202110280100000102
问题如下：
The most appropriate trading strategy for the sell order of Music Plus shares is:
选项：
A.trading in the open market. B.selling at the closing auction for the day. C.passive trading over the course of the trading day.解释：
A is correct. The sell order for the Music Plus shares has associated high trade urgency because Wong determined that the stock is temporarily overvalued and expects others to realize this quickly. Therefore, the trader does not have the benefit of trading the order passively (such as by using a VWAP or TWAP participation strategy) during the day, since the share price could decrease to fair value at any time. Because the trade order for Music Plus shares is submitted after the market opened that day, the opening auction is not an option and the whole order is traded in the open market.
B is incorrect because selling at the closing auction for the day is an appropriate trading strategy for trades when the portfolio manager would like to receive proceeds at NAV. An example of such a trade is a trade to meet a redemption request from a client. The trade for Music Plus shares has associated high trade urgency and must be executed as quickly as possible to capture the short-term alpha. Waiting until the closing auction is not an appropriate trading strategy.
C is incorrect because passive trading is appropriate for trades associated with low trade urgency. The sell order of Music Plus shares has associated high trade urgency because Wong determined that the stock is temporarily overvalued and expects the new data to be reflected in the price by the end of the day. Therefore, the trader does not have the benefit of trading the order passively (such as by using a VWAP or TWAP participation strategy) during the day, since the share price could decrease to fair value at any time.
老师好，我想请教下这个说法：
passive trading over the course of the trading day.
请问在一天内被动交易指的是什么交易呢？我看答案给的指的是VWAP和TWAP？他们的优点指的是可以提前在一个固定的时间预测出售多少数量的股票。这道题里是因为wong想要按照全天交易量的20%去出售，所以不对吗？我感觉好像挺对的啊，比如VWAP策略，我预测一个今天全部的交易量然后把订单拆分不是挺好的么？还能避免information leakage？
