5828金融与交易困难数值题long
True value is either 50 (low) or 60 (high), equally likely.
题目
True value is either 50 (low) or 60 (high), equally likely. A fraction 0.25 of order flow is informed and trades in the correct direction; the remaining 0.75 is noise that buys or sells 50/50. A dealer is hit on the bid (a sell order arrives) and gets filled. What is the dealer's expected loss per share relative to true value, i.e. the expected adverse move E[bid - V | sell], if the bid is quoted at the prior mean 55?
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