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Quantitative Finance · Glossaire

Qu'est-ce que « Quote skewing » ?

Definition 15.6 Markets II: Rates, FX and Credit · Chapitre 15 — FX Spot Microstructure

Quote skewing is moving a stream’s bid and ask together, off the provider’s estimate of the mid, to attract trades that reduce its inventory: a provider long euros lowers both prices so that clients buy euros from it and fewer sell to it (Figure 15.4).

Quote skewing. With no position the provider quotes symmetrically around its mid; long euros, it lowers both prices, so that buyers come to it and sellers go elsewhere; short, it raises them. The spread is unchanged, the centre moves. Schematic.
Figure 15.4. Quote skewing. With no position the provider quotes symmetrically around its mid; long euros, it lowers both prices, so that buyers come to it and sellers go elsewhere; short, it raises them. The spread is unchanged, the centre moves. Schematic.
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