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Quantitative Finance · शब्दावली

Event protocol क्या है?

Definition 18.3 Market Making and High-Frequency Trading · अध्याय 18 — News and Event Trading

An event protocol is a market maker’s written schedule for a known event: when to cancel or widen quotes before it, which inputs must be updated before quoting resumes, when and how wide to re-enter, and which limits apply until normal quoting resumes.

Spread less mark-outs earned by quoting from the re-entry time until two minutes after a release, in tick-lots, when post-release flow starts at twenty-one times normal and decays over thirty seconds and its mark-out starts at three ticks and decays over five; dashed, a market maker that never pulled its quotes, after its loss in the race. Data: hf_news.reentry_curve.
Figure 18.1. Spread less mark-outs earned by quoting from the re-entry time until two minutes after a release, in tick-lots, when post-release flow starts at twenty-one times normal and decays over thirty seconds and its mark-out starts at three ticks and decays over five; dashed, a market maker that never pulled its quotes, after its loss in the race. Data: hf_news.reentry_curve.
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