Tous les livres

Professionnel

Applis À propos Coach Connexion Commencer la lecture

Quantitative Finance · Glossaire

Qu'est-ce que « Transfer latency » ?

Definition 16.4 Markets III: Commodities, Energy and Crypto · Chapitre 16 — Spot Markets

Transfer latency is the time between the decision to move an asset from one venue to another and the moment it can be traded at the destination: the source venue’s withdrawal processing, the chain’s inclusion and the confirmations the destination requires, and the destination’s crediting.

Probability that a cross-venue arbitrage executed by transferring the asset loses money, as a function of the transfer time, for three gaps, with 20 basis points of costs and an annual volatility of 60% (). A 50-basis-point gap loses about one time in three after an hour. Illustrative parameters. Data: the chapter’s tutorial.
Figure 16.2. Probability that a cross-venue arbitrage executed by transferring the asset loses money, as a function of the transfer time, for three gaps, with 20 basis points of costs and an annual volatility of 60% (Proposition 16.5). A 50-basis-point gap loses about one time in three after an hour. Illustrative parameters. Data: the chapter’s tutorial.
Lire dans le chapitre →