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Quantitative Finance · Glosarium

Apa itu Drift-adjusted quoting?

Definition 4.6 Market Making and High-Frequency Trading · Bab 4 — Extensions of the Inventory Framework

Drift-adjusted quoting solves the market maker’s control problem with the forecast drift μ\mu of the mid inside it, so that the forecast shifts the quotes through the value of holding inventory rather than being added to them as a separate skew.

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