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Quantitative Finance · Glossaire

Qu'est-ce que « Tradable universe, universe membership, liquidity filter » ?

Aussi appelé : tradable universe · universe membership · liquidity filter

Definition 4.1 Research Craft: Predictors, Backtests, Measurement, Portfolios · Chapitre 4 — Universe, Symbology and Corporate Actions

A tradable universe is the set of securities a strategy may hold at a given date, defined by rules evaluated on data known at that date. Universe membership is the resulting table of (date, security) pairs. A liquidity filter is a membership rule on tradability: a minimum average daily traded value, a minimum price, a minimum free-float capitalisation, a rank by any of these.

Members of a 500-name liquidity universe replaced at each monthly rebalance, in the chapter’s simulated market: 11.5% a month on average without a buffer, 3.1% with one. Data: the chapter’s module, seeded.
Figure 4.1. Members of a 500-name liquidity universe replaced at each monthly rebalance, in the chapter’s simulated market: 11.5% a month on average without a buffer, 3.1% with one. Data: the chapter’s module, seeded.
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