Andreas Park PRO
Professor of Finance at UofT
Trading Case:
LT3
The quick and dirty on LT3
New symbol?
What's notable about the stock?
Two of them: CRZY & TAME
prices \(\uparrow/\downarrow\) 15%
What do you have to do?
- Dynamic order arrival: decide and trade
- end of day inventory: ZERO!
- trade both!
Anything special?
- Do not exceed position limits:
- |buy-sell|<100K
- buy+sell <200K
The quick and dirty on LT3
New symbol?
Two of them: CRZY & TAME
What do you have to do?
- You receive tender offers to buy or sell the stocks
- Simple decision rule: accept if and only if you can unload it immediately for a profit
What does that mean computationally?
- Buying via the tender and selling with a market order (that will "walk the book") is profitable
The quick and dirty on LT3
Main tasks
- Extract the right information from RIT
- Tender offer
- state of the order book
- Design decision rule
- When is it profitable
- Set order and acceptance to RIT
MGT435: LT3
By Andreas Park
