5985概率简单derivationshort
Expected Total Slippage With Negative Drift
题目
A market-making desk incurs i.i.d. per-trade adverse-selection costs with (a net loss per trade). The number of trades in a session, , is independent of the costs and is Poisson with mean . Compute the expected cumulative cost .
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提交作答时记录,用于后续平均用时统计。
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