Todos os livros

Profissional

Apps Sobre Coach Entrar Começar a ler

Quantitative Finance · Glossário

O que é Huang–Stoll model?

Também chamado de: Huang--Stoll model

Definition 5.6 Microstructure and Execution · Capítulo 5 — Decomposing the Spread

The Huang–Stoll model (basic form) writes the change of the transaction price between trades as

Δpt=S2 Δεt+λ S2 εt−1+et,\Delta p_t=\frac S2\,\Delta\varepsilon_t+\lambda\,\frac S2\,\varepsilon_{t-1}+e_t,

where SS is the traded spread and λ\lambda the share of the half-spread by which the quotes move after a trade: adverse selection plus inventory, which the basic form cannot separate. Its extensions separate them with a model of the autocorrelation of trade signs.

Ler no capítulo →