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Quantitative Finance · Glossary

What is Days to liquidate?

Definition 28.2 The Desk and the Firm · Chapter 28 — Case Studies I

The days to liquidate a position is its size divided by the volume the firm can trade each day without an unacceptable market impact, usually a stated share of the average daily volume:

D=Qπ V,D=\frac{Q}{\pi\,V},

for a position of QQ units, an average daily volume of VV units and a participation rate π\pi (Book 10’s participation).

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