Just a simple question. Larkin topic test mentions that VWAP is affected by market impact for the last MC question. I’m trying to think of what measure is NOT affected by market impact. I know effective spread is a better measure than quoted spread because it accounts for market impact and price improvement.
So, is quoted spread the only measure NOT affected by market impact? Maybe i’m more confused than I initially though. How is VWAP affected by market impact? My thinking VWAP has low oportunity to trade immediately and can delay trading and is not affected by market impacted too much.
I was just randomly thinking about that. Not related to the above topic, but the correct answer mentions that VWAP attemptts to measure the price benchmark for a trade with greater precision than other measures.
It says that statement is true. I would think that is true for something like implementation shortfall but not VWAP.
Any help with the two questions is much appreciated.