Problem sets
Problems
Every problem in the course. Solutions sit behind a deliberate step on each problem page.
to difficulty Check numeric answers checked on the page
18 shown
M05 Intraday trading and execution 18
- P1 Roll arithmetic ★ Check
- P2 Roll with unbalanced and persistent order flow ★★ Check
- P3 Roll with adverse selection ★★
- P4 Glosten–Milgrom dynamics ★★ Check
- P5 Kyle: commitment does not help ★★★
- P6 Kyle with Indian numbers ★★ Check
- P7 Estimating Kyle's lambda ★★ Check
- P8 Square-root impact, capacity and splitting ★★ Check
- P9 When TWAP and when VWAP is optimal ★★
- P10 Continuous Almgren–Chriss in closed form ★★★ Check
- P11 Almgren–Chriss with drift ★★★ Check
- P12 VWAP and implementation shortfall ★ Check
- P13 What does an intraday signal need? ★★ Check
- P14 Cost drag and the optimal holding period ★★★ Check
- P15 Intraday versus swing in a mid-cap ★★ Check
- P16 How long a record proves skill? ★★★ Check
- P17 A stylised model of expiry-day index pushing ★★★
- P18 ORB and multiple testing ★★ Check