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5792金融与交易中等数值题short

Break-Even Width Against Adverse Selection

题目

When a resting quote fills, with probability 0.30 it is an informed pick-off that moves 0.05 against the maker; with probability 0.70 it is noise flow with zero adverse move. Ignoring rebates, what minimum half-spread makes expected per-fill PnL exactly zero?

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