5526金融与交易中等数值题short

Required Skew 1

题目

Without skew, expected bid-fill probability is 0.32 and ask-fill probability is 0.18. If you increase ask-side skew by s, bid-fill probability becomes 0.32 - 0.02*s and ask-fill probability becomes 0.18 + 0.015*s. What is the smallest nonnegative s that makes expected inventory change no longer positive?

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