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Quantitative Finance · Glossaire

Qu'est-ce que « Transaction-triggered price manipulation » ?

Definition 12.5 Microstructure and Execution · Chapitre 12 — Transient Impact and Propagator Models

Transaction-triggered price manipulation is present when the cheapest way to sell (or buy) a position includes trades in the opposite direction, although no round trip is profitable.

Kernels e-(t/0.3) on 21 trades. Left: the profit of the best round trip, positive once >2. Right: the smallest trade of the cheapest sale of one unit, negative (a buy) once >1. Data: mx_prop.kernel_family.
Figure 12.2. Kernels e−(t/0.3)κe^{-(t/0.3)^\kappa} on 21 trades. Left: the profit of the best round trip, positive once κ>2\kappa>2. Right: the smallest trade of the cheapest sale of one unit, negative (a buy) once κ>1\kappa>1. Data: mx_prop.kernel_family.
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