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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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half_spread

bid

ask