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1 Markets I: The Ecosystem and Exchange-Traded Marketsالأسواق عبر الإنترنت 2 Markets II: Rates, FX and Creditالأسواق عبر الإنترنت 3 Markets III: Commodities, Energy and Cryptoالأسواق عبر الإنترنت 4 Quantitative Methodsالأساليب عبر الإنترنت 5 Derivatives and Volatilityالمشتقات عبر الإنترنت 6 Rates, Credit, XVA and Riskالفائدة والائتمان والمخاطر عبر الإنترنت 7 Research Craft: Predictors, Backtests, Measurement, Portfoliosالبحث عبر الإنترنت 8 Strategies I: Equities and Futuresالاستراتيجيات عبر الإنترنت 9 Strategies II: Volatility, Relative Value, Macro and the Bank Desksالاستراتيجيات عبر الإنترنت 10 Microstructure and Executionالتنفيذ عبر الإنترنت 11 Market Making and High-Frequency Tradingصناعة السوق عبر الإنترنت 12 Machine Learning for Marketsتعلم الآلة عبر الإنترنت 13 Low-Latency Softwareالتكنولوجيا عبر الإنترنت 14 Networks, Hardware and Trading Infrastructureالتكنولوجيا عبر الإنترنت 15 Research, Data and Risk Platformsالتكنولوجيا عبر الإنترنت 16 The Desk and the Firmالشركة عبر الإنترنت 17 The Industry: Firms, Roles and Careersالمسارات المهنية عبر الإنترنت 18 The Interview Bookالمسارات المهنية عبر الإنترنت
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Quantitative Finance · المسرد

ما معنى Block trade and risk bid؟

يُعرف أيضًا باسم: block trade

Definition 2.5 Markets I: The Ecosystem and Exchange-Traded Markets · الفصل 2 — The Sell Side

A block trade is a transaction much larger than the market’s displayed size, negotiated away from the order book. In a risk bid the dealer buys the whole block as principal at a discount to the market price; the discount pays it for the cost and the risk of selling the shares afterwards.

The 95% break-even discount of a risk bid, at 10% participation. Most of the discount pays for risk, not for impact. Data: computed by the chapter’s script from .
Figure 2.2. The 95% break-even discount of a risk bid, at 10% participation. Most of the discount pays for risk, not for impact. Data: computed by the chapter’s script from Proposition 2.8.

أمثلة

Example 2.9 (The pension fund’s block)

Q=2Q = 2 million shares at $50, V=10V = 10 million, σ=2%\sigma = 2\% a day, π=10%\pi = 10\%. Then T=2T = 2 days, I=0.7×0.02×0.2=0.63%I = 0.7 \times 0.02 \times \sqrt{0.2} = 0.63\%, and the risk term at 95% (z=1.645z = 1.645) is 1.645×0.02×2/3=2.69%1.645 \times 0.02 \times \sqrt{2/3} = 2.69\%. The break-even discount is 3.31%3.31\%, or $1.66 a share: the dealer who bids $48.34 expects to make 2.69%2.69\% of $100 million, $2.7 million, and loses money one time in twenty. Both terms grow like Q\sqrt{Q}: a block four times larger costs twice as much per share.

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