November 2019
Beginner
394 pages
10h 31m
English
One thing to understand before diving into all the different risk measures is defining what the severity of a risk violation means. So far, we've been discussing risk violations as being maximum risk limit violations. But in practice, there are multiple levels of every risk limit, and each level of risk limit violation is not equally as catastrophic to algorithmic trading strategies. The lowest severity risk violation would be considered a warning risk violation, which means that this risk violation, while not expected to happen regularly, can happen normally during a trading strategy operation. Intuitively, it is easy to think of this as, say, on most days, trading strategies do not send more than 5,000 orders ...