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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 End-of-day flattening؟

Definition 11.4 Market Making and High-Frequency Trading · الفصل 11 — Hedging and Inventory in Practice

End-of-day flattening is the reduction of a market maker’s positions towards zero before the close, through its quotes, through orders in the continuous market or in the closing auction, or by hedging what remains with an instrument that trades overnight.

Hedging cost against intraday risk (the one-minute P&L’s standard deviation scaled to a day) for seven rules: no hedge, the future kept within half a contract of the book’s delta-equivalent inventory, the future outside no-trade bands of $100 000 to $1 million, and every name traded back to $20 000 in its own stock. Forty names, ten simulated days, spread income $46 800 a day. Data: hf_hedging.frontier.
Figure 11.1. Hedging cost against intraday risk (the one-minute P&L’s standard deviation scaled to a day) for seven rules: no hedge, the future kept within half a contract of the book’s delta-equivalent inventory, the future outside no-trade bands of $100 000 to $1 million, and every name traded back to $20 000 in its own stock. Forty names, ten simulated days, spread income $46 800 a day. Data: hf_hedging.frontier.
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