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|Subject: Help on Price Threshold||Date: 6/25/2013 1:00 PM|
|Author: ELDER06||Number: 34992 of 35117|
Hello everyone, new to the boards. I am currently in the process of evaluating of what defines "materiality" on differences in prices from multiple sources on one security.
For example, if vendor A prices bond xyz at 101 and vendor B prices bond xyz at 101.25, I need to determine if that .25 differnce is "material." I have tinkered with a few different methods/formulas:
1. taking a simple mean of all the differences b/w the securities, with each security segmented by vendor liquidity score. IE, vendor scores 1, vendore scores 2, etc. I would use the average differnce as the benchmark, but that seems over simplified.
2. taking the difference of a corp bond index yield and the treasury benchmark for each security based on maturity and establishing that as some kind of metric for materiality.
Any other thoughts? This is quite an interesting but difficult task as there is not much framework for me to go on.
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