5401金融与交易中等数值题short
Break-Even Spread Under Informed Flow 1
题目
Suppose the true value is equally likely to be 99.8 or 100.2. A fraction 0.3 of traders are informed and always trade in the correct direction; the rest are noise traders who buy or sell with equal probability. A dealer posts symmetric quotes around the prior mean. What break-even half-spread, bid, and ask should the dealer use?
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你的答案
half_spread
bid
ask