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?
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