5834金融与交易中等数值题medium
Conditional on being filled on your ask, you know the trade
题目
Conditional on being filled on your ask, you know the trade was either from a noise trader (probability 0.65 given a fill) or an informed trader (probability 0.35 given a fill). If noise, the value is unchanged at your mid of 100. If informed, the value has moved against you to 100 + m for a buy, where the post-trade fair value among informed-driven fills is 103. What is the expected post-fill fair value of the asset, i.e. E[V | you got lifted]?
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