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Quantitative Finance · Glossaire

Qu'est-ce que « Over-quoting » ?

Definition 15.1 Market Making and High-Frequency Trading · Chapitre 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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