Créer un site internet

Market On Close

Popular strategy for market participants who: 

- want to minimize risk-adjusted costs relative to the closing price of the day

- want to manipulate the close to create the perception of a good execution (gaming)

 

The ideal market-on-close user: 

- is benchmarked to the close of the day

- has low or negative alpha. 

 

Parameters of MOC Execution: 

- Start time

- End time

- # shares to execute

 

Optimized forms of this strategy require a risk-aversion parameter. 

When MOC is used as an optimized strategy, it is similar in its formulation to an arrival price strategy.

However, with MOC, a back-weighted trade schedule incurs less risk than a front-weighted one. 

 

As with arrival price optimization, positive alpha increases urgency to trade and negative alpha encourages delayes execution. 

Add a comment

Preview
 

The NEW website is OUT! 

Go have a look at https://www.derivativesacademy.com.

You will find the content in the 'Derivatives Academy' section in a book format. 
The full content is not yet available as I am rewriting it and improving it.

You can try the Exotic Derivatives pricer under the 'Derivatives Pricer' section (https://www.derivativesacademy.com/derivatives-pricer/). I will speed up the page soon as I forgot to compress some images.
Each application allows you to price differents products and contains links towards the correct section of the book. 
You will then be able to get practical and theoretical knowledge quite easily.

I teach quite often using the pricer. You can get so much information and answers to your questions thanks to it.

Take advantage of it as much as you can to hone your knowledge!

If you are looking for junior opportunities in the field of market finance. Register yourself on the website. It's free!

If you have any questions, do not hesitate to contact me on info@derivativesacademy.com.