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Quantitative Finance · Begrippenlijst

Wat is Information leakage?

Definition 9.6 Microstructure and Execution · Hoofdstuk 9 — Dark Pools and Blocks

Information leakage is the part of a large order’s cost that comes from other traders learning of it before it is complete, from its fills, its quotes, its conditionals or its routing, and trading ahead of it.

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