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Quantitative Finance · Begrippenlijst

Wat is Mark-out curve?

Definition 23.1 Research Craft: Predictors, Backtests, Measurement, Portfolios · Hoofdstuk 23 — Measuring Market Making and Execution

The mark-out curve of a set of fills is the quantity-weighted average, as a function of the horizon hh, of each fill’s mark-out (Book 2, chapter 15), si (m(ti+h)−pi)s_i\,(m(t_i + h) - p_i) for a fill of side sis_i at price pip_i and time tit_i, against a reference price mm: the mid, or the microprice (chapter 8).

Mark-out curves of the touch quoter’s fills over twelve simulated hours, with a two-standard-error band for all fills. The dotted line marks twenty seconds, where the curve settles. Data: rs_markout.curves.
Figure 23.1. Mark-out curves of the touch quoter’s fills over twelve simulated hours, with a two-standard-error band for all fills. The dotted line marks twenty seconds, where the curve settles. Data: rs_markout.curves.
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