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Quantitative Finance · Glossaire

Qu'est-ce que « Effective spread and realised spread » ?

Aussi appelé : effective spread · realised spread

Definition 10.3 Markets I: The Ecosystem and Exchange-Traded Markets · Chapitre 10 — Retail Flow and Wholesaling

For an order of side ϵ=±1\epsilon = \pm1 executed at price pp when the mid was mtm_t, the effective half-spread is ϵ(p−mt)\epsilon(p - m_t): what the order paid relative to the mid. The realised half-spread at horizon τ\tau is ϵ(p−mt+τ)\epsilon(p - m_{t+\tau}): what the liquidity provider kept once the price had moved. Both are usually quoted doubled, as spreads, and in cents or basis points.

Exemples

Example 10.6 (Reading one fill)

The national best quote is 20.00×20.0220.00 \times 20.02; a customer’s market purchase of 100 shares is filled at 20.018. Price improvement: 0.2 cent a share, 20 cents on the order. Effective half-spread: 20.018−20.010=0.820.018 - 20.010 = 0.8 cent. Five minutes later the mid is 20.013: the realised half-spread is 20.018−20.013=0.520.018 - 20.013 = 0.5 cent and the price impact 0.3 cent. The wholesaler’s gross revenue on this fill was 50 cents, out of which it pays the broker and its own costs.

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