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- 2011-7-2
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2#
发表于 2011-7-13 13:05
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1. Since implementation shortfall trades in the morning, is it inappropriate for the trades with high volumes at the end of the day, because high volumes tend to indicate better pricing?
not necessarily better pricing, but IS you weight it heavily early, so you banging into trades heavy when volume is low would tend to move prices more than if volume was spread out or front heavy.
Why do high afternoon volumes preclude Implementation shortfall?
same as above- you'd rather trade in a more liquid market.
2. Is implementation shortfall better when trades are smooth throughout day?
IS or VWAP i would think would be fine if volume was smooth during the day.
3. Why is VWAP better when there is higher volume at end of the day?
for one, you'd have a harder time gaming it. it maybe isn't necessarily that it's better, but less worse than IS in this test's case. |
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