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EDUCATION CONSULTATION 수강에 관련된 질문을 올려주시면 성심껏 답변해 드리겠습니다.
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제목 Lv 3 Trading 이규민강사님 질문
등록일 2024-04-07 오전 10:03:40 조회수 23
type 1, 2 error 부분에서 mean reverting market 경우를 설명을 안해주셨는데요, 슈웨이져 교재를 읽어봐도 무슨 말인지 잘 모르겠습니다.

mean reverting 경우, Type 1은 firing poor performer, or hiring strong performer 인 경우 발생하고
Type 2는 strong manager are fired or not hired, 아니면 weak performer are fired or not hired 의 경우 발생한다는데
왜 이렇게 되는건지 잘 모르겠습니다.



아래는 슈웨이져 교재의 토픽퀴즈 문제 입니다. implementation shortfall 관련 Trading cost, opportunity cost를 구하는 문제입니다. 하루가 아닌 이틀에 걸친 트레이딩인데 Decision/Arrival price를 전날 가격으로 잡는 이유를 모르겠습니다.

The details of the trade are as follows. On Wednesday, Allen's stock price closed at $60.00 per share. On Thursday morning before the market opened, Wienke decided to buy Allen and transferred a limit order for $59.75 per share for 1,000 shares to the trader. The trader released the order to the market 45 minutes after receiving it, when the price was $60.02. The order expired unfilled, and the Allen stock closed at $60.04 on Thursday. On Friday, the order was revised to a limit of $60.07. The order was partially filled that day: 700 shares were bought at $60.07. The commission was $19. The stock closed at $60.08 on Friday, and the remaining order was canceled.

문제 :
The trading cost component of the implementation shortfall measure Brooks should calculate for the Allen trade is closest to:

The trading cost reflects the execution price paid on the shares executed. It is calculated as 700 × ($60.07 ? $60.02) = $35.

Note: The delay cost, which reflects the adverse price movement with not submitting the order to the market on a timely basis, is 700 × ($60.02 ? $60.00) = $14. The sum of the trading cost and the delay cost is the execution cost, which is $49. (Module 23.4, LOS 23.g)

문제 :
The opportunity cost component of the implementation shortfall measure Brooks should calculate for the Allen trade is closest to:
The opportunity cost is based on the number of unexecuted shares and reflects the cost of not being able to execute all shares at the decision price. It is calculated as 300 × ($60.08 ? $60.00) = $24. (Module 23.4, LOS 23.g)

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