5799金融与交易中等数值题short
Width For A Latency-Limited Quote
题目
A maker cannot cancel instantly: from a price signal to its cancel landing there is a fixed exposure window of 50 milliseconds during which its quote is stale. Per-second volatility is 0.4 price units (so variance scales linearly with time). The maker sets its half-spread equal to one standard deviation of the price move over the exposure window. What half-spread does it quote?
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