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2. (Similar to Lecture Slide 25) Assume you placed a limit order to buy 10,000 shares at $50.45 based on observations at yesterday's close price.

Evaluating Trading Strategies

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?

Screen Shot 2018-11-02 at 11.49.27 pm.png

Screen Shot 2018-11-02 at 11.49.27 pm.png

2. (Similar to Lecture Slide 25) Assume you placed a limit order to buy 10,000 shares at $50.45
based on observations at yesterday’s close price. Brokerage fees of $0.01 / share. Yesterday 50.00 Close Open 1000 50.20 9:31 1000 50.25 MB
9:32 5000 50.40 MB
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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