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Quantitative Finance · Glossary

What is Short-horizon alpha?

Definition 7.1 Market Making and High-Frequency Trading · Chapter 7 — Short-Horizon Alpha

Short-horizon alpha is a forecast of an instrument’s price change over the next milliseconds to seconds, built from the state of its order book, its recent trades and the recent moves of related instruments, and used to decide how to quote and when to trade.

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