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Quantitative Finance · Glosarium

Apa itu Rich-cheap signal?

Definition 10.3 Strategies II: Volatility, Relative Value, Macro and the Bank Desks · Bab 10 — Government-Bond Relative Value

A rich-cheap signal ranks bonds by their fitted-curve residuals, often scaled by each bond’s own history, to choose which to buy (the cheapest) and which to sell (the richest) in a hedged relative-value book.

How fast the synthetic bonds’ fitted residuals decay: the regression slope of the residual h days later on today’s, pooled over bonds, against the planted two-part error and its fast part alone (half-life 40 days). Data: s2_bondrv.decay.
Figure 10.2. How fast the synthetic bonds’ fitted residuals decay: the regression slope of the residual hh days later on today’s, pooled over bonds, against the planted two-part error and its fast part alone (half-life 40 days). Data: s2_bondrv.decay.
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