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中文题目An execution schedule reaches total size 11 using slices of sizes 1, 2, and 5, but the large 5-lot slice may be used at most once. Order of slices does not matter. How many schedules are possible?
打开 →The blow-up term is steeper, but the same convexity logic should still go through. Show that f(q) = 2 q^2 + 4/(1-q) is strictly convex on q<1.
打开 →A test block has 25 trading days. A signal generated on day t is executed on day t+1 and evaluated on the open-to-close return from day t+1 through day t+4. How many signals inside the block can be scored without the label running past the block end?
打开 →A schedule pays a quadratic cost but also faces a blow-up term as it nears a hard capacity cap. Show that f(q) = 1 q^2 + 2/(1-q) is strictly convex on q<1.
打开 →The cost couples size and trading time through a perspective form. Show that P(x,t)=x^2/t + 3 t is convex on the domain t>0.
打开 →Why is an execution problem incomplete if it models market impact but ignores alpha decay or urgency?
打开 →Why can a stock show a narrow quoted spread but still deliver poor execution quality to liquidity takers?
打开 →Why can quoted spread be a poor summary of true execution cost for a real institutional order?
打开 →A signal is expected to decay within the next 20 minutes, and waiting is more expensive than crossing a bit more spread now. Should the schedule become more or less front-loaded?
打开 →A benchmarked portfolio must minimize tracking error to the official close, and the stock has deep closing-auction liquidity. Which venue or schedule component becomes especially attractive?
打开 →The NBBO is 99.98 bid / 100.02 ask, and a buyer-initiated trade prints at 100.015. What is the effective spread in price terms and in basis points of the prevailing midpoint?
打开 →The NBBO is 49.95 bid / 50.05 ask, and a seller-initiated trade prints at 49.97. What is the effective spread in price terms and in basis points of the prevailing midpoint?
打开 →A buy order benchmarks performance to the arrival price 24. It fills in slices 30000@24.03, 20000@24.06, and exchange/commission fees are 0.004 dollars per share. What is the implementation shortfall in dollars and in basis points versus arrival?
打开 →A sell order benchmarks performance to the arrival price 51.2. It fills in slices 25000@51.16, 15000@51.1, and exchange/commission fees are 0.003 dollars per share. What is the implementation shortfall in dollars and in basis points versus arrival?
打开 →A buy order benchmarks performance to the arrival price 18.5. It fills in slices 40000@18.52, 10000@18.57, and exchange/commission fees are 0.0025 dollars per share. What is the implementation shortfall in dollars and in basis points versus arrival?
打开 →A sell order benchmarks performance to the arrival price 76. It fills in slices 20000@75.95, 30000@75.9, and exchange/commission fees are 0.005 dollars per share. What is the implementation shortfall in dollars and in basis points versus arrival?
打开 →A buy order benchmarks performance to the arrival price 102.4. It fills in slices 10000@102.46, 15000@102.5, 5000@102.57, and exchange/commission fees are 0.004 dollars per share. What is the implementation shortfall in dollars and in basis points versus arrival?
打开 →You need to liquidate a medium-size position over several days with no urgent alpha and strong concern about footprint. Which scheduling style is the better default: high-POV aggression or a lower-participation passive schedule?
打开 →In a thin name, why might a trader impose a strict maximum participation rate even when the order is behind schedule?
打开 →A buy slice arrives when the mid is 50. Crossing the spread costs 0.02 dollars per share, temporary impact is 0.03, and permanent impact is estimated at 0.01. What are the expected average fill price and the post-trade mid immediately after the market digests the permanent impact
打开 →A sell slice arrives when the mid is 32.5. Crossing the spread costs 0.015 dollars per share, temporary impact is 0.025, and permanent impact is estimated at 0.008. What are the expected average fill price and the post-trade mid immediately after the market digests the permanent
打开 →A buy slice arrives when the mid is 80.2. Crossing the spread costs 0.03 dollars per share, temporary impact is 0.04, and permanent impact is estimated at 0.015. What are the expected average fill price and the post-trade mid immediately after the market digests the permanent imp
打开 →A desk uses a square-root impact rule: cost in bps scales with sqrt(Q/ADV). A trade of 1.00\% of ADV costs 8 bps. What impact cost would the same model predict for a trade of 4.00\% of ADV?
打开 →You need to buy 6% of daily volume in a liquid index future by the close, and the PM is benchmarked strictly to day-long VWAP rather than arrival. Which schedule is the most natural starting point?
打开 →Why can dark-pool access reduce displayed footprint and still fail to lower true cost much?
打开 →Why do large-tick names often sit at the minimum spread for long periods?
打开 →Why can the measured realized spread change materially depending on whether you use the midpoint 1 second later or 30 seconds later?
打开 →Why is it wrong to think that passive orders are always cheap just because they do not cross the spread?
打开 →A trade executes inside the NBBO and gets price improvement. Why is that not enough to conclude the trade was cheap?
打开 →Why does realized spread usually fall below effective spread when trades are informationally toxic?
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