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Quantitative Finance · Glossário

O que é Cross-asset feature?

Definition 10.5 Research Craft: Predictors, Backtests, Measurement, Portfolios · Capítulo 10 — Cross-Sectional and Cross-Asset Features

A cross-asset feature predicts a security from the prices of a different asset class or market: an index future for its constituents, a currency for its exporters, a commodity for its producers, rates for equities, one market’s close for another market’s open.

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