Todos os livros

Profissional

Apps Sobre Coach Entrar Começar a ler

Quantitative Finance · Glossário

O que é Urgency?

Definition 14.6 Microstructure and Execution · Capítulo 14 — The Almgren–Chriss Framework

The urgency of an execution is κ\kappa, or the dimensionless κT\kappa T: 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.

Ler no capítulo →