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5789金融与交易中等数值题medium

Skew To Recover From A Short

题目

You start short q0 = -150 shares; lot size is 50. Under a symmetric quote, bid-fill probability is 0.30 and ask-fill probability is 0.30. Under a bid-skew policy designed to buy back, bid-fill probability rises to 0.50 while ask-fill probability falls to 0.20. Compute the expected ending inventory under each policy, and state which leaves you closer to flat.

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你的答案

Symmetric policy expected ending inventory

Bid-skew policy expected ending inventory

Policy closer to flat