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Quantitative Finance · Glossário

O que é Economic-surprise signal?

Definition 16.3 Strategies II: Volatility, Relative Value, Macro and the Bank Desks · Capítulo 16 — Systematic Macro

An economic-surprise signal measures how much a country’s recent data releases have exceeded or fallen short of forecasts, and positions its assets for the markets’ delayed response: equities and the currency up and bonds down after positive surprises.

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