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.
Quantitative Finance · Begrippenlijst
Wat is Tradable universe, universe membership, liquidity filter?
Ook bekend als: tradable universe · universe membership · liquidity filter