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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 Effective number of venues؟

Definition 11.5 Markets I: The Ecosystem and Exchange-Traded Markets · الفصل 11 — European Equity Market Structure

If venues have market shares s1,…,sns_1,\dots,s_n summing to one, the Herfindahl index is H=∑isi2H = \sum_i s_i^2 and the effective number of venues is 1/H1/H: the number of equal-sized venues that would produce the same concentration.

Effective number of venues when one venue has the share on the horizontal axis and five others split the rest equally. Six venues are “six” only when the leader is down to a sixth of the market. Data: computed by the chapter’s script.
Figure 11.2. Effective number of venues when one venue has the share on the horizontal axis and five others split the rest equally. Six venues are “six” only when the leader is down to a sixth of the market. Data: computed by the chapter’s script.

أمثلة

Example 11.6 (Fragmented, but how much?)

A stock trades 60% on its primary exchange, 20% on one platform and 10% on each of two others. H=0.36+0.04+0.01+0.01=0.42H = 0.36 + 0.04 + 0.01 + 0.01 = 0.42: an effective 2.4 venues, although there are four. If the primary’s share falls to 40% and the others take 20% each, H=0.28H = 0.28 and the effective number is 3.6. The measure moves mostly with the leader’s share (Figure 11.2).

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