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Quantitative Finance · Glossaire

Qu'est-ce que « Partial basket » ?

Definition 13.1 Market Making and High-Frequency Trading · Chapitre 13 — Index and Basket Arbitrage

A partial basket is a subset of an index’s constituents, with weights chosen to track the index as closely as possible, traded in place of the full basket to save time and cost at the price of tracking error.

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