1955数学困难derivationlong
Large Buy-Side Imbalance Skew 10
题目
A quoting engine values upside fill opportunities much more than downside ones, so the optimal skew should be meaningfully positive. A market maker chooses a skew x in (-1,1) to maximize G(x) = 9 ln(1+x) + 3 ln(1-x). What skew is optimal?
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