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Quantitative Finance · Begrippenlijst

Wat is Latent liquidity, latent order book?

Ook bekend als: latent liquidity · latent order book

Definition 13.1 Microstructure and Execution · Hoofdstuk 13 — Metaorders, Latent Liquidity and Cross-Impact

Latent liquidity is the intention to trade at a price that has not been placed in the book, because its owner waits for the price to come near. The latent order book is the density of these intentions by price, of which the visible book is the small part closest to the price.

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