5812金融与交易困难数值题medium
Probability-Weighted PnL Of A Skewed Quote
题目
Long inventory, you skew quotes to sell. The ask fills with probability 0.45 earning net edge 0.020 per share; the bid fills with probability 0.10 but is toxic, earning net edge -0.030 per share. Each side quotes 100 shares. Assuming at most one side fills, what is the expected PnL of this skewed quote?
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