POV Execution with Market Impact - Quant Researcher Interview Question
Difficulty: Hard
Category: market_microstructure
Asked at: Barclays, Virtu, Point72, Morgan Stanley, JPMorgan, Goldman Sachs, Millennium
Topics: algorithmic-trading, simulation, numpy, market-impact
Problem Description
Percentage of Volume (POV) strategies are fundamental execution algorithms used in quantitative finance to minimize market impact by participating in the market at a rate proportional to realized volume. These strategies dynamically adjust trade sizes based on liquidity while accounting for price constraints and slippage costs to optimize execution performance relative to an arrival price benchmark.
Task
Implement a simulator for a POV execution algorithm that processes a sequence of market bar
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