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Quantitative Finance · Glossário

O que é Execution risk?

Definition 14.4 Microstructure and Execution · Capítulo 14 — The Almgren–Chriss Framework

Execution risk is the variance (or standard deviation) of an execution’s cost that comes from the price moving while the position is still held: σ2∫x2 dt\sigma^2\int x^2\,dt here.

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