Determine the optimal liquidation quantity, Financial Accounting

Assignment Help:

The bid-offer spread as a function of daily trading volume is given by :p(q) = a + b*exp(cq)
where q = daily trading volume

a = 0.08
b= 0.10
c = 0.05

A trader wants to unwind a position of 50 million units over a period of 3 days. The daily volatility of price change of the position is $0.50. Determine the optimal liquidation quantity for each day if the trader wants to minimize liquidation and market risk costs with a confidence level of 95% (λ = 1.64).


Related Discussions:- Determine the optimal liquidation quantity

Balance sheet and income statement, 1) The detailed information is on the s...

1) The detailed information is on the second tab marked "Financials". Enter summarized Balance Sheet and Income Statement information for Cummins into the template on the "Summary

What is asset, Q. What is Asset? Asset - An economic resource which is ...

Q. What is Asset? Asset - An economic resource which is expected to be of benefit in the future. Probable futureeconomic benefits attained as a result of past transactions or e

Conversion of members'' to creditors'' winding up-liquidation, Conversion o...

Conversion of members' to creditors' winding up If the liquidator in a members' winding up forms the opinion that the company will not be able to pay its debts in full within t

#titlebookeeping.., how to identify deb who to credit and who to debit

how to identify deb who to credit and who to debit

Adjusting Entries, How do I treat with Expenses Outstanding, for example, M...

How do I treat with Expenses Outstanding, for example, Marketing Expenses outstanding at year end is $1250. How do I adjust?. It is a note under the trial balance.

Prepare financial report for large accounting firm, Question: You are a...

Question: You are a member of a large accounting firm which is responsible for preparing financial reports, including statements and notes to the accounts; and for advising sta

Vat, a recommendation regarding the current south African vat system

a recommendation regarding the current south African vat system

Illustration-statement of changes in net assets-pension fund, Illustration-...

Illustration-statement of Changes in Net Assets-pension fund (a) What meetings of creditors must be held and for what purpose in the course of a creditors’ voluntary winding up

Payrol, a private owned business, pay salary to its employees according to ...

a private owned business, pay salary to its employees according to the Ethiopian calendar month to the addis ababa city administration tax authority . Basic salary 3936 ,Normar wor

Write Your Message!

Captcha
Free Assignment Quote

Assured A++ Grade

Get guaranteed satisfaction & time on delivery in every assignment order you paid with us! We ensure premium quality solution document along with free turntin report!

All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd