5441金融与交易中等数值题short
Choose Width 1
题目
A market maker can quote half-spread 0.01 with fill prob 0.48, half-spread 0.02 with fill prob 0.32, or half-spread 0.04 with fill prob 0.18. Expected adverse-selection loss per fill is 0.008 and rebate is 0.001. Which width maximizes expected round EV?
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你的答案
best_half_spread
EV for half-spread 0.01
EV for half-spread 0.02
EV for half-spread 0.04