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1 Markets I: The Ecosystem and Exchange-Traded Marketsالأسواق عبر الإنترنت 2 Markets II: Rates, FX and Creditالأسواق عبر الإنترنت 3 Markets III: Commodities, Energy and Cryptoالأسواق عبر الإنترنت 4 Quantitative Methodsالأساليب عبر الإنترنت 5 Derivatives and Volatilityالمشتقات عبر الإنترنت 6 Rates, Credit, XVA and Riskالفائدة والائتمان والمخاطر عبر الإنترنت 7 Research Craft: Predictors, Backtests, Measurement, Portfoliosالبحث عبر الإنترنت 8 Strategies I: Equities and Futuresالاستراتيجيات عبر الإنترنت 9 Strategies II: Volatility, Relative Value, Macro and the Bank Desksالاستراتيجيات عبر الإنترنت 10 Microstructure and Executionالتنفيذ عبر الإنترنت 11 Market Making and High-Frequency Tradingصناعة السوق عبر الإنترنت 12 Machine Learning for Marketsتعلم الآلة عبر الإنترنت 13 Low-Latency Softwareالتكنولوجيا عبر الإنترنت 14 Networks, Hardware and Trading Infrastructureالتكنولوجيا عبر الإنترنت 15 Research, Data and Risk Platformsالتكنولوجيا عبر الإنترنت 16 The Desk and the Firmالشركة عبر الإنترنت 17 The Industry: Firms, Roles and Careersالمسارات المهنية عبر الإنترنت 18 The Interview Bookالمسارات المهنية عبر الإنترنت
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Quantitative Finance · المسرد

ما معنى Defensive widening؟

Definition 6.2 Market Making and High-Frequency Trading · الفصل 6 — Adverse Selection and Toxicity

Defensive widening moves a quote away from the fair price on the side, or both sides, where adverse selection is expected, keeping it in the book at a price that compensates for the expected mark-out; in a one-tick book it means stepping back a tick from the best price.

The two responses a one-lot market maker has in a one-tick book when its bid is scored toxic (the book: bid queues in blue, ask queues in red, prices in ticks; our lot as a thick bar on top of a queue). Base: our lot rests at the best bid, 100, and at the best ask, 101. Fade: the bid is withdrawn. Widen: the bid steps back to 99, where it is almost never filled.
Figure 6.3. The two responses a one-lot market maker has in a one-tick book when its bid is scored toxic (the book: bid queues in blue, ask queues in red, prices in ticks; our lot as a thick bar on top of a queue). Base: our lot rests at the best bid, 100, and at the best ask, 101. Fade: the bid is withdrawn. Widen: the bid steps back to 99, where it is almost never filled.
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