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未命名 · 2022年01月09日

可以解释下这道题目么,没有看懂题目的条件和答案,谢谢

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NO.PZ202110140100000204

问题如下:

Bloomfield’s trading strategy for the purchase of AXZ shares most likely includes the use of:

选项:

A.flickering quotes. B.machine learning. C.leapfrogging quotes.

解释:

A is correct.

Flickering quotes are exposed limit orders that electronic traders submit and then cancel shortly thereafter, often within a second. Electronic dealers and algorithmic buy-side traders submit and repeatedly cancel and resubmit their orders when they do not want their orders to stand in the market; rather, they want other traders to see that they are willing to trade at the displayed price. Bloomfield does not want his orders to stand in the market; using flickering quotes to purchase AXZ shares would satisfy that objective.

B is incorrect because AXZ shares are currently in a period of high volatility, so Bloomfield would not likely use machine learning to execute his trades. Machine-learning systems frequently do not produce useful information during volatility episodes because these episodes have few precedents from which the machines can learn. Machine-learning methods produce models based on observed empirical regularities rather than on theoretical principles identified by analysts. Many traders shut down when volatility spikes, both because highvolatility episodes are uncommon and thus not well understood and because even if such episodes were well understood, they represent periods of exceptionally high risk.

C is incorrect because market participants use leapfrogging quotes when spreads are wide (not narrow), and Bloomfield noted that the bid–ask spread for AXZ shares is narrow. When bid–ask spreads are wide, dealers often are willing to trade at better prices than they quote. They quote wide spreads because they hope to trade at more favorable prices. When another trader quotes a better price, dealers often immediately quote an even better price. If the spread is sufficiently wide, a game of leapfrog may ensue as the dealer jumps ahead again.

可以解释下这道题目么,没有看懂题目的条件和答案,谢谢

2 个答案

星星_品职助教 · 2023年09月28日

@哒哒的马蹄

可直接参考基础班讲义上的定义及例子。

星星_品职助教 · 2022年01月10日

同学你好,

case中“Bloomfield will purchase AXZ shares using a trading strategy that does not include standing orders”说明B不希望orders在市场上持续存在。

只有如果下单未成交则立刻取消,再重新下新单的flickering quotes符合这个要求。

哒哒的马蹄 · 2023年09月28日

可以再解释下什么是leapfrogging quotes么

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