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Quantitative Finance · Glossário

O que é Axe-driven skew?

Definition 24.3 Strategies II: Volatility, Relative Value, Macro and the Bank Desks · Capítulo 24 — Flow Market Making at a Bank

An axe-driven skew is a shift of both sides of a dealer’s quote against its inventory or its axes, so that clients are offered better prices on the trades that reduce the desk’s position and worse ones on those that add to it.

The synthetic desk priced by client, second half: franchise P&L (in thousands of basis points of unit notional, $100 each) and the share of client volume internalised, against the axe skew. Data: s2_flowmm.policy.
Figure 24.2. The synthetic desk priced by client, second half: franchise P&L (in thousands of basis points of unit notional, $100 each) and the share of client volume internalised, against the axe skew. Data: s2_flowmm.policy.
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