The urgency of an execution is , or the dimensionless : zero for a straight line (time-weighted), large for a trajectory that sells most of the order early. Its inverse is the execution’s natural time scale.
Quantitative Finance · Glossaire
Quantitative Finance · Glossaire
The urgency of an execution is , or the dimensionless : zero for a straight line (time-weighted), large for a trajectory that sells most of the order early. Its inverse is the execution’s natural time scale.