جميع الكتب

مهني

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
التطبيقات حول المدرب تسجيل الدخول ابدأ القراءة

Quantitative Finance · المسرد

ما معنى Loss-versus-rebalancing؟

Definition 20.8 Markets III: Commodities, Energy and Crypto · الفصل 20 — Automated Market Makers

Loss-versus-rebalancing (LVR) is the difference between the value of a rebalancing portfolio that tracks an automated market maker’s holdings by trading at market prices and the value of the pool itself; it is the amount the pool loses to arbitrageurs by trading at its own stale prices rather than at the market’s.

Loss-versus-rebalancing of a fee-free constant-product pool: the rebalancing portfolio minus the pool, averaged over 200 simulated paths at 60% annual volatility with arbitrage every 15 minutes, against the closed form of ; the two lines coincide. Data: the chapter’s tutorial.
Figure 20.3. Loss-versus-rebalancing of a fee-free constant-product pool: the rebalancing portfolio minus the pool, averaged over 200 simulated paths at 60% annual volatility with arbitrage every 15 minutes, against the closed form of Proposition 20.9; the two lines coincide. Data: the chapter’s tutorial.
The daily turnover by noise traders at which a constant-product pool’s fees equal its loss-versus-rebalancing (), for three fee tiers. Data: the chapter’s tutorial.
Figure 20.4. The daily turnover by noise traders at which a constant-product pool’s fees equal its loss-versus-rebalancing (Proposition 20.10), for three fee tiers. Data: the chapter’s tutorial.
اقرأ في الفصل →

مصطلحات ذات صلة