Tous les livres

Professionnel

Applis À propos Coach Connexion Commencer la lecture

Quantitative Finance · Glossaire

Qu'est-ce que « Auction impact curve » ?

Definition 16.2 Market Making and High-Frequency Trading · Chapitre 16 — Auctions and the Close

An auction impact curve is the uncrossing price’s move from the reference price as a function of the size of an imbalance, given the rest of the auction book; it is the auction’s supply curve seen from the imbalance.

The auction impact curve of the chapter’s closing book (the close’s move above $100 against a buy imbalance), the move when the provider makes its best offer (15% of the move stays overnight), and the provider’s expected profit a share at its best offer when none, 15% or half of the move stays. Uncrossed with firm.auction. Data: hf_auction.offers.
Figure 16.1. The auction impact curve of the chapter’s closing book (the close’s move above $100 against a buy imbalance), the move when the provider makes its best offer (15% of the move stays overnight), and the provider’s expected profit a share at its best offer when none, 15% or half of the move stays. Uncrossed with firm.auction. Data: hf_auction.offers.
Lire dans le chapitre →