Tous les livres

Professionnel

Applis À propos Coach Connexion Commencer la lecture

Quantitative Finance · Glossaire

Qu'est-ce que « Mark-out » ?

Definition 15.2 Markets II: Rates, FX and Credit · Chapitre 15 — FX Spot Microstructure

The mark-out of a trade at horizon HH is the provider’s profit from marking the position at the mid HH after the trade: the half-spread earned minus the move of the mid in the client’s favour over HH. Averaged over a client’s trades at several horizons, from milliseconds to minutes, it measures how informed the client’s flow is.

Lire dans le chapitre →