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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
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Quantitative Finance · المسرد

ما معنى Over-quoting؟

Definition 15.1 Market Making and High-Frequency Trading · الفصل 15 — Futures Market Making

Over-quoting is showing more size at a price than one wishes to trade there, in a book that allocates fills in proportion to size, in order to receive a larger share of each fill; it is profitable for each maker alone and self-defeating for all together.

The over-quoting factor, the equilibrium size each maker shows divided by the 100 lots it would show under time priority, against the number of makers at the best price (log scale); aggressors lognormal with a median of 200 lots, one tick earned a lot, an inventory penalty =0.01 (0.005 per squared lot), sizes capped at 5 000. Data: hf_futures.game.
Figure 15.1. The over-quoting factor, the equilibrium size each maker shows divided by the 100 lots it would show under time priority, against the number of makers at the best price (log scale); aggressors lognormal with a median of 200 lots, one tick earned a lot, an inventory penalty γ=0.01\gamma=0.01 (0.005 per squared lot), sizes capped at 5 000. Data: hf_futures.game.
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