第 184 / 209 页
非代码面试题
显示 20 / 4169 道匹配题目
答题状态：未尝试未正确已正确
ID题目领域难度题型进度权限
5435Stale Print Adjustment 5Current mid is 149.8. A stale print was 150.5 when the mid at that time was 149.7. You only trust 0.25 of that old deviation now, and a fresh peer signal adds 0.08. What fair value do you get?金融与交易中等数值题未尝试面试订阅5436Fair Value Is A DistributionWhy do experienced market makers treat fair value as a distribution rather than as a single perfectly known number?金融与交易中等essay未尝试面试订阅5437Why Stale Signals Need DecayWhy should an old trade print usually get downweighted relative to a fresh move in a related instrument?金融与交易中等essay未尝试面试订阅5438Why Correlated Markets HelpWhy can a market maker improve fair-value estimation by watching related instruments even if those instruments are not perfect hedges?金融与交易中等essay未尝试面试订阅5439Why Order Flow Is Not Value By ItselfWhy is it dangerous to map every buy print directly into a higher fair value?金融与交易中等essay未尝试面试订阅5440Why Better Fair Value Can Beat Tighter SpreadWhy can a market maker with a slightly wider spread still outperform a tighter competitor if its fair-value estimate is better?金融与交易中等essay未尝试面试订阅5441Choose Width 1A market maker can quote half-spread 0.01 with fill prob 0.48, half-spread 0.02 with fill prob 0.32, or half-spread 0.04 with fill prob 0.18. Expected adverse-selection loss per fill is 0.008 and rebate is 0.001. Which width maximizes expected round EV?金融与交易中等数值题未尝试面试订阅5446Volatility Buffer Width 1A desk uses half-spread = base + k*sigma 1s*sqrt(horizon seconds) + buffer. With base=0.004, sigma 1s=0.08, horizon=4, k=1.1, and buffer=0.002, what half-spread should it quote?金融与交易简单数值题未尝试面试订阅5450Volatility Buffer Width 5A desk uses half-spread = base + k*sigma 1s*sqrt(horizon seconds) + buffer. With base=0.0045, sigma 1s=0.07, horizon=25, k=1, and buffer=0.001, what half-spread should it quote?金融与交易简单数值题未尝试面试订阅5451Required Widening 1A market maker wants net edge 0.018 per fill after adverse-selection loss. If expected loss is 0.007, rebate is 0.001, and current half-spread is 0.012, what half-spread is required and how much extra widening is needed?金融与交易中等数值题未尝试面试订阅5456Tight Versus Wide 1Choice A is half-spread 0.018 with per-side fill prob 0.34. Choice B is half-spread 0.028 with per-side fill prob 0.24. Expected loss per fill is 0.009, rebate is 0.001, and fixed inventory penalty is 0.0015 per round. Which quote has higher expected value?金融与交易中等数值题未尝试面试订阅5461Why One Tick Is Not Always OptimalWhy is quoting the minimum possible spread not automatically optimal for a market maker?金融与交易中等essay未尝试面试订阅5462Why Width Should Follow SpeedWhy should the same instrument often be quoted wider in a fast tape than in a slow tape?金融与交易中等essay未尝试面试订阅5463Why Competition Only Helps If Fills Improve EnoughWhy does matching a tighter competitor only make sense if the fill-rate gain is large enough?金融与交易中等essay未尝试面试订阅5464Why Good Width Cannot Fix Bad MidWhy can a mathematically reasonable width still lose money if the quote center is wrong?金融与交易中等essay未尝试面试订阅5465Why Width And Skew Are Different ControlsWhy do market makers treat quote width and quote skew as different levers?金融与交易中等essay未尝试面试订阅5466One-Sided Quote EV 1A one-sided quote has fill probability 0.28. If filled, size is 200, half-spread capture is 0.018 per share, rebate is 0.001, and expected adverse-selection loss is 0.01 per share. What is the expected PnL?金融与交易简单数值题未尝试面试订阅5471Two-Sided Quote EV 1You quote both sides for size 150. Bid-fill probability is 0.22 and ask-fill probability is 0.3. Bid half-spread is 0.016, ask half-spread is 0.02, rebate is 0.001, bid-side adverse loss is 0.009, and ask-side adverse loss is 0.012. What is expected PnL?金融与交易中等数值题未尝试面试订阅5476Partial Fill EV 1A quote can fill in two sizes: with probability 0.25 you trade 100 shares and earn 0.012 raw edge per share; with probability 0.1 you trade 250 shares and earn 0.009 raw edge per share. Rebate is 0.0005 per share in either case. What is expected PnL?金融与交易简单数值题未尝试面试订阅5481Join Or Improve 1If you join the current best quote, fill probability is 0.26, size is 120, raw edge per share is 0.011, and rebate is 0.0005. If you improve the quote, fill probability becomes 0.18, size is 120, raw edge per share is 0.017, and rebate is 0.0005. Which action has higher expected PnL?金融与交易中等数值题未尝试面试订阅