5790金融与交易中等数值题short
Optimal Width Under Linear Fill Decay
题目
Per-side fill probability falls linearly with half-spread: p(h) = 0.6 - 4*h for h in [0, 0.15]. Net edge per fill is (h - loss) with loss = 0.01. Expected single-side PnL per round is p(h)*(h - loss). What half-spread h maximizes it?
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