Atrader wishes to unwind a position of 200,000 units in an asset over eight days. the dollar bid–offer spread, as a function of daily trading volume q, isa+ becq where a = 0.2, b = 0.15, and c = 0.1 and q is measured in thousands. the standard deviation of the price change per day is $1.50. what is the optimal trading strategy for minimizing the 99% confidence level for the costs? what is the average time the trader waits before selling? how does this average time change as the confidence level changes?
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Atrader wishes to unwind a position of 200,000 units in an asset over eight days. the dollar bid–off...
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