Tous les livres

Professionnel

Applis À propos Coach Connexion Commencer la lecture

Quantitative Finance · Glossaire

Qu'est-ce que « Market impact, counterfactual impact » ?

Aussi appelé : market impact · counterfactual impact

Definition 18.5 Research Craft: Predictors, Backtests, Measurement, Portfolios · Chapitre 18 — Order-Book Replay Simulation

The market impact of a strategy is the change its own orders and trades cause in the prices it later trades at. In a replay it is a counterfactual impact: the recorded market did not contain the strategy’s orders, so what it would have done with them can only be modelled.

Lire dans le chapitre →