祁同學(xué)
2020-02-25 17:03老師，您好為啥time slicing的缺點(diǎn)是流動(dòng)性不足也會(huì)進(jìn)行交易，這不應(yīng)該只是twap的嗎？vwap 不是考慮了流動(dòng)性嗎？謝謝
所屬：CFA Level III > Trading, Performance Evaluation, and Manager Selection 視頻位置 相關(guān)試題
來(lái)源： 視頻位置 相關(guān)試題
1個(gè)回答
Chris Lan助教
2020-02-25 21:20
該回答已被題主采納
同學(xué)你好
VWAP and TWAP algorithms release orders to the market following a time-specified schedule, trading a predetermined number of shares within the specified time interval; for example, trade 5,000 shares between 10:00 a.m. and 1:00 p.m. An advantage of a time slicing strategy is that it ensures the specified number of shares are executed within the specified time period. A disadvantage of a time slicing strategy is that it will force the trades even in times of insufficient liquidity and will not take advantage of increased liquidity conditions when available.
這是原版書的原話，VWAP他確實(shí)會(huì)在流動(dòng)性好的時(shí)候有利，但是他畢竟也是根據(jù)時(shí)間切片的，也不是說(shuō)在流動(dòng)性差的時(shí)段，他還是會(huì)執(zhí)行的。所以只要是時(shí)間切片的交易策略，都有這個(gè)問(wèn)題。
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