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5486Why Positive Edge Per Fill Is Not EnoughWhy is positive edge on each fill not sufficient to make a quoting strategy attractive?金融与交易中等essay未尝试面试订阅5487Why Rebate Can Flip The DecisionWhy can a seemingly tiny maker rebate materially change whether a quote is worth posting?金融与交易中等essay未尝试面试订阅5488Why Hit Rate Can Be MisleadingWhy can a high fill rate be a warning sign instead of a success metric for a market maker?金融与交易中等essay未尝试面试订阅5489Why Average Spread Capture Overstates EdgeWhy does average spread capture often overstate true strategy edge?金融与交易中等essay未尝试面试订阅5490Why Latency Matters For EVWhy can quote-cancel latency reduce expected value even if your fair-value model is accurate on average?金融与交易中等essay未尝试面试订阅5491Two-Round Opportunity Value 1In round 1, a quote has fill probability 0.3 and edge 0.02 if filled. If it does not fill, you get a round-2 opportunity with fill probability 0.25 and edge 0.028. Assume a round-1 fill ends the game because your risk limit is used up. What is total expected edge?金融与交易中等数值题未尝试面试订阅5496Fill With Carry Cost 1Round 1 has fill probability 0.32 and edge 0.024, but a round-1 fill also creates carry cost 0.006 before the next decision point. If round 1 does not fill, round 2 has fill probability 0.28 and edge 0.02. What is total expected edge?金融与交易中等数值题未尝试面试订阅5501Choose First-Round Policy 1Policy A has round-1 fill probability 0.42, round-1 edge 0.012, and continuation value 0.009 if unfilled. Policy B has round-1 fill probability 0.25, round-1 edge 0.024, and continuation value 0.015 if unfilled. Which policy has higher expected value?金融与交易中等数值题未尝试面试订阅5506Two-Round Signal Tree 1Round 1 has fill probability 0.28 and edge 0.02. If round 1 does not fill, round 2 begins. At round 2 a strong signal arrives with probability 0.4; under a strong signal the quote has fill probability 0.35 and edge 0.03, while under a weak signal the fill probability is 0.2 and edge is 0.012. What is total expected edge?金融与交易困难数值题未尝试面试订阅5511Why Future Opportunity Is Part Of The Quote DecisionWhy can a quote with slightly lower immediate edge still be better once future opportunity is considered?金融与交易中等essay未尝试面试订阅5512Why Early Fill Is Not Always GoodWhy is an early fill not automatically good news in a multi-round market-making problem?金融与交易中等essay未尝试面试订阅5513Why Path Dependence MattersWhy can two strategies with the same average one-period edge have different multi-round values?金融与交易中等essay未尝试面试订阅5514Why Risk Limits Change The First QuoteWhy do tight inventory or capital limits make the first quote in a sequence more selective?金融与交易中等essay未尝试面试订阅5515Why Multi-Round Policies Need SimulationWhy is backtesting a multi-round quoting policy usually more naturally done path by path instead of only through average per-quote metrics?金融与交易中等essay未尝试面试订阅5516Reservation Price 1A market maker uses reservation price = fair value - lambda*inventory. If fair value is 100, inventory is 50, lambda is 0.006, and the chosen half-spread is 0.02, what reservation price, bid, and ask should the maker use?金融与交易简单数值题未尝试面试订阅5517Reservation Price 2A market maker uses reservation price = fair value - lambda*inventory. If fair value is 50, inventory is -80, lambda is 0.004, and the chosen half-spread is 0.015, what reservation price, bid, and ask should the maker use?金融与交易简单数值题未尝试面试订阅5518Reservation Price 3A market maker uses reservation price = fair value - lambda*inventory. If fair value is 75.5, inventory is 120, lambda is 0.003, and the chosen half-spread is 0.018, what reservation price, bid, and ask should the maker use?金融与交易简单数值题未尝试面试订阅5519Reservation Price 4A market maker uses reservation price = fair value - lambda*inventory. If fair value is 20.1, inventory is -40, lambda is 0.008, and the chosen half-spread is 0.012, what reservation price, bid, and ask should the maker use?金融与交易简单数值题未尝试面试订阅5521Passive Unwind Versus Crossing 1You are long 300 shares. If you skew passively and wait, you fully unwind with probability 0.4 and earn 0.012 per share; if the unwind does not happen, you expect a mark-to-market loss of 0.008 per share on the remaining position. Alternatively, you can cross the spread now and pay 0.005 per share. Which action has higher expected PnL?金融与交易中等数值题未尝试面试订阅5526Required Skew 1Without skew, expected bid-fill probability is 0.32 and ask-fill probability is 0.18. If you increase ask-side skew by s, bid-fill probability becomes 0.32 - 0.02*s and ask-fill probability becomes 0.18 + 0.015*s. What is the smallest nonnegative s that makes expected inventory change no longer positive?金融与交易中等数值题未尝试面试订阅