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Quantitative Finance · Glosarium

Apa itu ETP rebalancing flow?

Definition 5.3 Strategies II: Volatility, Relative Value, Macro and the Bank Desks · Bab 5 — The Volatility-Index Complex

The ETP rebalancing flow is the quantity of futures that leveraged and inverse volatility products must trade at the close to restore their multiples, A L(L−1) rA\,L(L - 1)\,r for each product; it is zero for L=1L = 1 and has the sign of the day’s move for L=−1L = -1 and L=2L = 2, so these products buy after rises and sell after falls.

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