5794金融与交易中等数值题short
Inventory Inflates The Sell-Side Width
题目
A maker is long inventory q=200 units. It widens the side that would add to its position using h_buy = base + gamma*sigma2*q and tightens nothing else, with base=0.02, gamma=0.0001, sigma2=2 (variance). What half-spread does it quote on the buy side (where filling makes it longer)?
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