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Quantitative Finance · Glossário

O que é Spread capture, adverse-selection cost, inventory P&L?

Também chamado de: spread capture · adverse-selection cost · inventory P\&L

Definition 23.3 Research Craft: Predictors, Backtests, Measurement, Portfolios · Capítulo 23 — Measuring Market Making and Execution

For a fill of side ss, quantity qq and price pp at time tt, with reference price mm, horizon HH and the end of the period TT: the spread capture is sq (m(t)−p)sq\,(m(t) - p); the adverse-selection cost is sq (m(t+H)−m(t))sq\,(m(t + H) - m(t)); the inventory P&L is sq (m(T)−m(t+H))sq\,(m(T) - m(t + H)). Summed over fills, with fees, the three add up to the P&L of the fills with the final position marked at m(T)m(T).

The P&L of the two quoters over twelve simulated hours, decomposed with a horizon of twenty seconds. Data: rs_markout.decomposition.
Figure 23.2. The P&L of the two quoters over twelve simulated hours, decomposed with a horizon of twenty seconds. Data: rs_markout.decomposition.
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