NO.PZ202110280100000302
问题如下：
Determine which trades are most likely to exhibit the greatest execution risk and market impact. Justify each selection.
选项：
解释：
The XYZ trade exhibits the greatest execution risk because XYZ has the highest price volatility of the three stocks. Execution risk is the risk of an adverse price movement occurring over the trading horizon owing to a change in the fundamental value of the security or because of trading-induced volatility. Execution risk is often proxied by price volatility. Securities with higher levels of price volatility have greater exposure to execution risk than securities with lower price volatility.
The ABC trade exhibits the greatest market impact risk as it represents the highest percentage of ADV (45,000 / 195,000 = 23.07%). The permanent component of price change associated with trading an order is the market price impact caused by the information content of the trade. The larger the size of the trade expressed as a percentage of ADV, the larger the expected market impact cost.
XYZ is most likely to exhibit the greatest execution risk.
The price volaitlity is highest in XYZ.
ABC is most likely to exhibit the greatest market impact.
The order size of avage daily volume in ABC is highest percent.