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Quantitative Finance · Glosarium

Apa itu Cross-impact, cross-impact matrix?

Dikenal juga sebagai: cross-impact · cross-impact matrix

Definition 13.4 Microstructure and Execution · Bab 13 — Metaorders, Latent Liquidity and Cross-Impact

Cross-impact is the effect of trading one asset on the price of another. The cross-impact matrix Λ\Lambda gives each asset’s price change per unit of each asset’s order flow, rt=Λqt+noiser_t=\Lambda q_t+\text{noise}.

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