Alle boeken

Professioneel

Apps Over Coach Inloggen Begin met lezen

Quantitative Finance · Begrippenlijst

Wat is Tradable universe, universe membership, liquidity filter?

Ook bekend als: tradable universe · universe membership · liquidity filter

Definition 4.1 Research Craft: Predictors, Backtests, Measurement, Portfolios · Hoofdstuk 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.
Lees in het hoofdstuk →