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Quantitative Finance · Glossário

O que é Banging the close?

Definition 17.7 Markets II: Rates, FX and Credit · Capítulo 17 — Fixings and Flows

Banging the close is concentrating trades in the moments that set a benchmark or settlement price, in order to move it in a direction that benefits a position.

The dealer’s profit on a EUR 1 billion fixing order by the share bought before the window, with the chapter’s impact and a random move of two pips (standard deviation) between the pre-hedge and the window. The expected profit, taken from the client, grows with pre-hedging, and so does its risk. Illustrative; data: the chapter’s tutorial.
Figure 17.4. The dealer’s profit on a EUR 1 billion fixing order by the share bought before the window, with the chapter’s impact and a random move of two pips (standard deviation) between the pre-hedge and the window. The expected profit, taken from the client, grows with pre-hedging, and so does its risk. Illustrative; data: the chapter’s tutorial.
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