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Quantitative Finance · Begrippenlijst

Wat is Forecast skew?

Definition 7.2 Market Making and High-Frequency Trading · Hoofdstuk 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the forecast says will be picked off (the ask when the price is expected to rise) is moved away from the fair price or withdrawn, the other side kept or improved.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quotes: both sides are shown while the forecast is within ±0.3 ticks; beyond it, the side that would be picked off is withdrawn (skew); beyond ±0.9 ticks, half the spread plus the taker fee plus a margin, the market maker also crosses the spread for one lot (take threshold).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both sides are shown while the forecast is within ±0.3\pm0.3 ticks; beyond it, the side that would be picked off is withdrawn (skew); beyond ±0.9\pm0.9 ticks, half the spread plus the taker fee plus a margin, the market maker also crosses the spread for one lot (take threshold).
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