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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 Forecast skew؟

Definition 7.2 Market Making and High-Frequency Trading · الفصل 7 — Short-Horizon Alpha

A forecast skew shifts a market maker’s quotes in the direction of its short-horizon forecast: the side that the forecast says will be picked off (the ask when the price is expected to rise) is moved away from the fair price or withdrawn, the other side kept or improved.

The chapter’s coupling of a two-second forecast to one-tick quotes: both sides are shown while the forecast is within ±0.3 ticks; beyond it, the side that would be picked off is withdrawn (skew); beyond ±0.9 ticks, half the spread plus the taker fee plus a margin, the market maker also crosses the spread for one lot (take threshold).
Figure 7.2. The chapter’s coupling of a two-second forecast to one-tick quotes: both sides are shown while the forecast is within ±0.3\pm0.3 ticks; beyond it, the side that would be picked off is withdrawn (skew); beyond ±0.9\pm0.9 ticks, half the spread plus the taker fee plus a margin, the market maker also crosses the spread for one lot (take threshold).
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