5456金融与交易中等数值题short
Tight Versus Wide 1
题目
Choice A is half-spread 0.018 with per-side fill prob 0.34. Choice B is half-spread 0.028 with per-side fill prob 0.24. Expected loss per fill is 0.009, rebate is 0.001, and fixed inventory penalty is 0.0015 per round. Which quote has higher expected value?
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你的答案
Expected Value for Choice A
Expected Value for Choice B
Quote with higher expected value