4. (Similar to Lecture Slide 27, Lecture 8, Week 9) Assume you placed a limit order...
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4. (Similar to Lecture Slide 27, Lecture 8, Week 9) Assume you placed a limit order to buy 10,000 shares at $50.45 based on observations at Close. Brokerage fees of $0.01/share. Volume Pricet 50.00 ID Yesterday Close Open 1000 50.20 9:31 1000 50.25 ME 9:32 5000 50.40 ME 10:03 1000 50.30 12:15 1000 50.35 Close 5000 50.50 a. Compute and discuss the ME trader's performance using implementation shortfall? b. Compute and discuss the ME trader's performance using VWAP benchmark? C. Compute and discuss the ME trader's performance using Close price benchmark? 4. (Similar to Lecture Slide 27, Lecture 8, Week 9) Assume you placed a limit order to buy 10,000 shares at $50.45 based on observations at Close. Brokerage fees of $0.01/share. Volume Pricet 50.00 ID Yesterday Close Open 1000 50.20 9:31 1000 50.25 ME 9:32 5000 50.40 ME 10:03 1000 50.30 12:15 1000 50.35 Close 5000 50.50 a. Compute and discuss the ME trader's performance using implementation shortfall? b. Compute and discuss the ME trader's performance using VWAP benchmark? C. Compute and discuss the ME trader's performance using Close price benchmark?
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