5835金融与交易中等数值题medium
Two venues route flow to your quotes. Venue A flow is 5% inf
题目
Two venues route flow to your quotes. Venue A flow is 5% informed; Venue B flow is 40% informed. Both have the same value gap delta = 0.5, and informed flow costs you delta per fill while you earn half-spread s = 0.10 on all fills. You can only post on one venue. Compute expected profit per fill on each venue, and explain in one line which venue you choose and the adverse-selection reason.
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你的答案
Expected Profit Venue A
Expected Profit Venue B
Chosen Venue