5795金融与交易中等数值题medium
Width Versus Expected Fill Rate
题目
Over a fixed window, expected fills per minute are 10 at half-spread 0.02, 6 at 0.05, and 3 at 0.09. Net edge per fill is (h - 0.01). Total expected PnL per minute = fills * (h - 0.01). Which half-spread maximizes throughput-adjusted PnL?
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你的答案
Maximizing Half-spread (h)
Maximum PnL per minute