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5406金融与交易中等数值题short

Spread Under Event Risk 1

题目

A dealer currently uses a half-spread of 0.05. Ahead of an event, the informed-trader fraction is estimated at 0.12 and the value jump size at 0.4. In the symmetric informed-flow model, what is the dealer's expected value per trade if the old spread is left unchanged, and how much extra half-spread is needed to get back to break-even?

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你的答案

EV_per_trade

extra_half_spread