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Quantitative Finance · Glossaire

Qu'est-ce que « Toxicity score » ?

Definition 6.1 Market Making and High-Frequency Trading · Chapitre 6 — Adverse Selection and Toxicity

A toxicity score is a market maker’s real-time estimate of the adverse selection it would suffer if one side of its quotes were filled now: here, the negative of a forecast of the fill’s mark-out at a fixed horizon, from features observable while the quote rests, fitted on the market maker’s own past fills.

Out of sample: the base quoter’s fills on six test sessions, sorted into fifths by the fitted forecast of their ten-second mark-out; mean forecast and realised mark-out per fifth. Data: hf_toxicity.calibration.
Figure 6.2. Out of sample: the base quoter’s fills on six test sessions, sorted into fifths by the fitted forecast of their ten-second mark-out; mean forecast and realised mark-out per fifth. Data: hf_toxicity.calibration.
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