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1 Markets I: The Ecosystem and Exchange-Traded Marketsالأسواق عبر الإنترنت 2 Markets II: Rates, FX and Creditالأسواق عبر الإنترنت 3 Markets III: Commodities, Energy and Cryptoالأسواق عبر الإنترنت 4 Quantitative Methodsالأساليب عبر الإنترنت 5 Derivatives and Volatilityالمشتقات عبر الإنترنت 6 Rates, Credit, XVA and Riskالفائدة والائتمان والمخاطر عبر الإنترنت 7 Research Craft: Predictors, Backtests, Measurement, Portfoliosالبحث عبر الإنترنت 8 Strategies I: Equities and Futuresالاستراتيجيات عبر الإنترنت 9 Strategies II: Volatility, Relative Value, Macro and the Bank Desksالاستراتيجيات عبر الإنترنت 10 Microstructure and Executionالتنفيذ عبر الإنترنت 11 Market Making and High-Frequency Tradingصناعة السوق عبر الإنترنت 12 Machine Learning for Marketsتعلم الآلة عبر الإنترنت 13 Low-Latency Softwareالتكنولوجيا عبر الإنترنت 14 Networks, Hardware and Trading Infrastructureالتكنولوجيا عبر الإنترنت 15 Research, Data and Risk Platformsالتكنولوجيا عبر الإنترنت 16 The Desk and the Firmالشركة عبر الإنترنت 17 The Industry: Firms, Roles and Careersالمسارات المهنية عبر الإنترنت 18 The Interview Bookالمسارات المهنية عبر الإنترنت
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Quantitative Finance · المسرد

ما معنى Liquidation cascade؟

Definition 18.7 Markets III: Commodities, Energy and Crypto · الفصل 18 — Margin, Liquidation and Loss Allocation

A liquidation cascade is a sequence in which forced sales by liquidation engines move the price enough to reach further positions’ liquidation prices, whose forced sales move it further.

The local cascade multiplier of for the tutorial’s 4 000 leveraged longs (USD 167 million of notional, leverage from 2 to 50 times) and an impact of 0.12% of the price per USD 1 million sold; the dashed line marks = 1. Between about 92 and 96 the multiplier exceeds one: a cascade that reaches that zone runs through it. Synthetic positions. Data: the chapter’s tutorial.
Figure 18.3. The local cascade multiplier of Proposition 18.8 for the tutorial’s 4 000 leveraged longs (USD 167 million of notional, leverage from 2 to 50 times) and an impact of 0.12% of the price per USD 1 million sold; the dashed line marks κ=1\kappa = 1. Between about 92 and 96 the multiplier exceeds one: a cascade that reaches that zone runs through it. Synthetic positions. Data: the chapter’s tutorial.
Total fall after the cascade as a function of the initial shock, for the base case and three ablations. In the base case the fall jumps from under 4% to over 10% between shocks of 1.0% and 1.25%; capping leverage at ten times moves the jump past 5%, and a book twice as deep removes it. Synthetic positions and book. Data: the chapter’s tutorial.
Figure 18.4. Total fall after the cascade as a function of the initial shock, for the base case and three ablations. In the base case the fall jumps from under 4% to over 10% between shocks of 1.0% and 1.25%; capping leverage at ten times moves the jump past 5%, and a book twice as deep removes it. Synthetic positions and book. Data: the chapter’s tutorial.
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