@niteshnath : In order flow mechanisms, you actually want some metrics to be skewed by outliers. For example, if you're evaluating how much information your mechanism leaks to the market and your median order size is small, you may incorrectly conclude that information leakage is negligible • TwiCopy

Nitesh

@niteshnath

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Nitesh

@niteshnath

6 months ago

In order flow mechanisms, you actually want some metrics to be skewed by outliers. For example, if you're evaluating how much information your mechanism leaks to the market and your median order size is small, you may incorrectly conclude that information leakage is negligible

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