Todos os livros

Profissional

Apps Sobre Coach Entrar Começar a ler

Quantitative Finance · Glossário

O que é Toxicity score?

Definition 6.1 Market Making and High-Frequency Trading · Capítulo 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.
Ler no capítulo →