Todos os livros

Profissional

Apps Sobre Coach Entrar Começar a ler

Quantitative Finance · Glossário

O que é Market impact, counterfactual impact?

Também chamado de: market impact · counterfactual impact

Definition 18.5 Research Craft: Predictors, Backtests, Measurement, Portfolios · Capítulo 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.

Ler no capítulo →