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Quantitative Finance · Glosario

¿Qué es Crypto reference rate?

Definition 19.2 Markets III: Commodities, Energy and Crypto · Capítulo 19 — Dated Futures, Options and ETFs

A crypto reference rate is a benchmark price of a crypto asset computed by an administrator from trades on a set of constituent spot venues over a stated window, with rules (partitions, medians, venue criteria) that make it costly to move with a few trades; it is used to settle futures and to value funds.

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