1953数学中等derivationmedium
Mild Positive Skew From Asymmetric Flow 8
题目
Order-flow asymmetry is present but not extreme, so the optimal skew should stay close to flat. A market maker chooses a skew x in (-1,1) to maximize G(x) = 7 ln(1+x) + 5 ln(1-x). What skew is optimal?
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