All books

Professional

Apps About Coach Log in Start reading

Quantitative Finance · Glossary

What is Basket liquidity profile?

Definition 22.3 Microstructure and Execution · Chapter 22 — Portfolio Trades and Risk Bids

A basket liquidity profile summarises a basket without its names: the share of its notional in buckets of position size relative to daily volume, by sector, with its beta, volatility and other risk characteristics.

The basket’s liquidity profile: its notional by position size relative to daily volume, what a blind bidder is shown (with the sector weights). Data: mx_riskbid.blind.
Figure 22.1. The basket’s liquidity profile: its notional by position size relative to daily volume, what a blind bidder is shown (with the sector weights). Data: mx_riskbid.blind.
Read in context →