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金融民工阿聪 · 2020年10月25日

问一道题:NO.PZ2020042003000027

问题如下:

Which of the following statements about Liquidity Trading Risk is NOT correct?

选项:

A.

In stressed conditions, liquidating even a relatively small position can then be time-consuming and is sometimes impossible.

B.

The bid price tends to increase, and the offer price tends to decrease with the size of a trade.

C.

“Liquidity black hole” describes the following phenomenon: when one financial institution finds that it needs to unwind a position, many other financial institutions with similar positions need to do the same thing. The liquidity in the market then evaporates.

D.

Predatory trading describes the following phenomenon: when a market participant has a large position, others guess that it will have to be unwound in the near future. Then others will trade in advance.

解释:

考点:对Liquidity Trading Risk的理解

答案:B选项描述错误,所以本题选B

解析:

Trade size增加时,会占用market maker更多的资金量,同时增加了Market maker对冲风险的难度,因此当Trade size增加时,Market maker会要求一个更高的Bid-ask spread,具体而言就是,当我们卖出标的资产给Market maker时,Market maker会报一个更低的收购价(Bid price)买入,当我们从Market maker处买入标的资产时,Market maker会报一个更高的卖出价(Offer price)卖出。

The bid price tends to decrease, and the offer price tends to increase with the size of a trade.

这里的with the size of a trade,只是说通过这个交易的规模,但是没有说这个规模是大还是小,怎么理解

1 个答案

袁园_品职助教 · 2020年10月26日

同学你好!

increase with the size of a trade 就是随着交易规模的增大而增大

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NO.PZ2020042003000027 问题如下 Whiof the following statements about LiquityTrang Risk is NOT correct? In stressecontions, liquitingeven a relatively small position cthen time-consuming anis sometimesimpossible. The bipriten to increase,anthe offer priten to crease with the size of a tra. “Liquity blahole” scribesthe following phenomenon: when one financiinstitution fin thit nee tounwina position, many other financiinstitutions with similpositionsneeto the same thing. The liquity in the market then evaporates. Pretorytrang scribes the following phenomenon: when a market participant halarge position, others guess thit will have to unwounin the nearfuture. Then others will tra in aance. 考点对Liquity Trang Risk的理解答案B描述错误,所以本题选B解析当Tra size增加时,会占用marketmaker更多的资金量,同时增加了Market maker对冲风险的难度,因此当Tra size增加时,Market maker会要求一个更高的Biask sprea具体而言就是,当我们卖出标的资产给Market maker时,Market maker会报一个更低的收购价(Biprice)买入,当我们从Market maker处买入标的资产时,Market maker会报一个更高的卖出价(Offer price)卖出。The bipriten to crease, antheoffer priten to increase with the size of a tra. 这个biask应该站在谁的角度说啊。。都是从market maker角度来看是吗,bi他买我的价格,ask是他卖给我的价格?

2023-11-11 11:29 1 · 回答

Biprice是相当于market maker的买价,Ask price相当于market maker的卖价吗

2020-10-29 17:30 2 · 回答