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Quantitative Finance · शब्दावली

Liquidation absorption क्या है?

Definition 24.3 Market Making and High-Frequency Trading · अध्याय 24 — Crypto High-Frequency Trading on Centralised Venues

Liquidation absorption is providing liquidity to the forced orders a venue’s liquidation engine sends into its book during a cascade, at prices that discount the forced selling, with a hedge on another venue and the capacity to hold the position until the dislocation reverts.

The planted liquidation cascade: the perpetual’s basis to spot (right axis) and the maker’s perpetual position, hedged in spot (left axis), for a maker that absorbs the forced sells once the basis is 40 basis points deep, up to $5 million, and for one that pulls its bid. Data: hf_crypto.absorption.
Figure 24.2. The planted liquidation cascade: the perpetual’s basis to spot (right axis) and the maker’s perpetual position, hedged in spot (left axis), for a maker that absorbs the forced sells once the basis is 40 basis points deep, up to $5 million, and for one that pulls its bid. Data: hf_crypto.absorption.
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