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Quantitative Finance · Glossary

What is Post-trade reversion?

Definition 19.4 Microstructure and Execution · Chapter 19 — Transaction-Cost Analysis

Post-trade reversion is the move of the price after an order’s last fill, signed against the order: a price that gives back the order’s push (negative) shows temporary impact; a price that keeps going shows that the order carried information or that it leaked (chapter 9).

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