5815金融与交易中等数值题medium

EV Across A Fill-Size Distribution

题目

When your bid is hit, the executed size follows a distribution: 50 shares with probability 0.5, 200 shares with probability 0.3, and 400 shares with probability 0.2. You earn a net edge of 0.02 per share regardless of size. Given that you are filled, what is the expected PnL of the fill?

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