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Quantitative Finance · Glossário

O que é Transfer latency?

Definition 16.4 Markets III: Commodities, Energy and Crypto · Capítulo 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.
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