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Quantitative Finance · Glossaire

Qu'est-ce que « Winner’s curse » ?

Definition 30.5 Markets II: Rates, FX and Credit · Chapitre 30 — Market-Making Games

The winner’s curse is the tendency of the winner of an auction among bidders with noisy estimates of a common value to have overestimated it: winning is itself evidence that one’s estimate was too high.

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