2841概率中等derivationmedium
Signed Compound Poisson Order Flow
题目
Market buys arrive as and sells as . The number of trades in a minute is , and conditional on a trade, the sign is with probability and with probability , independently. Let be the net signed flow in that minute. Find the MGF of , and compute and .
解题计时
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提交作答时记录,用于后续平均用时统计。
你的答案
E[S]
Var(S)