标题: Question on implementation shortfall. [打印本页] 作者: jcfa2011 时间: 2013-4-14 19:22 标题: Question on implementation shortfall.
Refer to CFI textbook Vol 6. Practice problem. Q10 for Reading 44.
They use the following formula and take mid quote as benchmark price to calculate implementation shortfall. I don’t understand why.
Trade size 作者: bchadwick 时间: 2013-4-14 19:23
Whenever you have to use Price Benchmark remember these formulas to calculate Total Transaction cost.
1) For sell orders
Total cost = ( Benchmark Price - Trade price ) Volume
2) For Buy Orders
Total Cost = ( Trade Price - Benchmark Price) Volume
Benchamark Price Could be any of these prices :
Mid quote ( Used for IS estimate of Total Cost)
VWAP ( Can be gamed )
Opening Price (Can be Gamed)
Closing Price (Can be Gamed)作者: stalkey 时间: 2013-4-14 19:24
Can anyone explain ? Also, where could I find the
above formula in the textbook?
Footnote 20 pg 16
Benchmark price, i.e., decision price can usually be one of those two.
