
Barzykin and Guéant – 28/03/23
Quantcast – a Risk.net Cutting Edge podcast
The Importance of Converting Transactions in USD
The size asked by the client is a size corresponding to 1 million USD. The fact that we encode, so to say the size is in USD, made the same work really well in terms of mathematics. We tested like fivefold the symmetry of the flow, so there are five times more bias than tell us. It can potentially be possible, but certainly it is very rare, particularly given expected type of flow. And we found that on the under really, really extreme circumstances, this approximation would start deviating.
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