Problem 4. [15] Suppose that the best limit orders on the limit order book are as follows at t = 0 Bid Ask Price Size Price Size 11.00 100 12.00 200 and that 10.50 200 12.50 200 10.00 150 13.50 100 9.00 100 at t=1 a limit order to sell 150 shares at $11.50 is submitted; at t = 2 a limit order to buy 200 shares at $11.50 is submitted: at t = 3 a limit order to sell 500 shares at $10.50 is submitted; at t = 4 a market order to buy 300 shares is submitted; at t = 5 a limit order to buy 100 shares at $11.00 is submitted; at t = 6 a limit order to sell 150 shares at $11.50 is submitted; at t = 7 a limit order to sell 300 shares at $9.50 is submitted; at t = 8 a market order to buy 250 shares is submitted. (a) [3] What is the Volume-Weighted Average Price (VWAP) at t = 4? (b) [4What is the absolute and relative) quoted spread at t = 5? C) (2How many shares are traded from t = 1 to t = 8? (a) (6) How do market orders affect liquidity? Why? How do limit orders affect liquidity? . Problem 4. [15] Suppose that the best limit orders on the limit order book are as follows at t = 0 Bid Ask Price Size Price Size 11.00 100 12.00 200 and that 10.50 200 12.50 200 10.00 150 13.50 100 9.00 100 at t=1 a limit order to sell 150 shares at $11.50 is submitted; at t = 2 a limit order to buy 200 shares at $11.50 is submitted: at t = 3 a limit order to sell 500 shares at $10.50 is submitted; at t = 4 a market order to buy 300 shares is submitted; at t = 5 a limit order to buy 100 shares at $11.00 is submitted; at t = 6 a limit order to sell 150 shares at $11.50 is submitted; at t = 7 a limit order to sell 300 shares at $9.50 is submitted; at t = 8 a market order to buy 250 shares is submitted. (a) [3] What is the Volume-Weighted Average Price (VWAP) at t = 4? (b) [4What is the absolute and relative) quoted spread at t = 5? C) (2How many shares are traded from t = 1 to t = 8? (a) (6) How do market orders affect liquidity? Why? How do limit orders affect liquidity