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Quantitative Finance · Glossaire

Qu'est-ce que « Cross-venue lead » ?

Definition 8.1 Market Making and High-Frequency Trading · Chapitre 8 — Lead–Lag and Cross-Venue Trading

A cross-venue lead is the time by which the prices of one market (a venue, or an instrument sharing the same efficient price) move ahead of those of another: the lag at which the cross-correlation of their price changes peaks, estimated on their own asynchronous ticks.

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