Given a portfolio of 300.000 stocks that you need to exit within 9 days. The bid-offer-spread is a function of the daily
Posted: Tue Jan 18, 2022 12:57 pm
Given a portfolio of 300.000 stocks that you need to exit within
9 days.
The bid-offer-spread is a function of the daily volume of the
stock and is given by:
Where q is given in 1000 stocks.
The standard deviance on the price change is 2%. The confidence
interval is 99%.
How much should you sell each of the 9
days?
f(q) = 0.3+0.25 = = . 0.14
9 days.
The bid-offer-spread is a function of the daily volume of the
stock and is given by:
- Given A Portfolio Of 300 000 Stocks That You Need To Exit Within 9 Days The Bid Offer Spread Is A Function Of The Daily 1 (768 Bytes) Viewed 52 times
The standard deviance on the price change is 2%. The confidence
interval is 99%.
How much should you sell each of the 9
days?
f(q) = 0.3+0.25 = = . 0.14