← 返回数学题库
1760统计中等derivationmedium

Wald Ratio With an Explicit Sign Convention

题目

An exchange latency shock Z in {0,1} moves the fraction of aggressive orders from 0.30 when Z=0 to 0.18 when Z=1, and average slippage from 4.2 bps when Z=0 to 5.4 bps when Z=1. Using the consistent orientation Delta Y / Delta X = (E[Y|Z=1]-E[Y|Z=0]) / (E[X|Z=1]-E[X|Z=0]), what Wald IV estimate do you get for slippage per one-unit increase in aggressive-order fraction?

解题计时

0:00

提交作答时记录,用于后续平均用时统计。

你的答案