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Quantitative Finance · Glossaire

Qu'est-ce que « Adverse selection » ?

Definition 1.11 Markets I: The Ecosystem and Exchange-Traded Markets · Chapitre 1 — What a Trading Firm Does

A market maker suffers adverse selection when the counterparties who choose to trade with its quotes are, more often than chance, those who know the price is about to move against it. Its cost is measured as the average move of the mid against the market maker’s new position after a trade.

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