第 19 / 21 页
非代码面试题
显示 20 / 420 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
5376Quoted Effective Realized 1Quotes are 100 bid / 100.06 ask. A signed trade executes at 100.04 and the later midpoint is 100.05. Compute the quoted spread, effective spread, and realized spread.金融与交易中等数值题未尝试面试订阅5377Quoted Effective Realized 2Quotes are 49.92 bid / 50.08 ask. A signed trade executes at 49.95 and the later midpoint is 49.94. Compute the quoted spread, effective spread, and realized spread.金融与交易中等数值题未尝试面试订阅5406Spread Under Event Risk 1A dealer currently uses a half-spread of 0.05. Ahead of an event, the informed-trader fraction is estimated at 0.12 and the value jump size at 0.4. In the symmetric informed-flow model, what is the dealer's expected value per trade if the old spread is left unchanged, and how much extra half-spread is needed to get back to break-even?金融与交易中等数值题未尝试面试订阅5416Posterior Fair Value From Noisy Signal 1Your prior fair value estimate is 100 with variance 1. A fresh signal arrives at 100.6 with variance 0.25. If you fuse them by precision weighting, what posterior fair value should you quote around?金融与交易中等数值题未尝试面试订阅5417Posterior Fair Value From Noisy Signal 2Your prior fair value estimate is 50 with variance 0.64. A fresh signal arrives at 49.7 with variance 0.16. If you fuse them by precision weighting, what posterior fair value should you quote around?金融与交易中等数值题未尝试面试订阅5418Posterior Fair Value From Noisy Signal 3Your prior fair value estimate is 75.5 with variance 0.81. A fresh signal arrives at 76.1 with variance 0.36. If you fuse them by precision weighting, what posterior fair value should you quote around?金融与交易中等数值题未尝试面试订阅5431Stale Print Adjustment 1Current mid is 100. A stale print was 100.4 when the mid at that time was 99.9. You only trust 0.5 of that old deviation now, and a fresh peer signal adds 0.06. What fair value do you get?金融与交易中等数值题未尝试面试订阅5432Stale Print Adjustment 2Current mid is 50.2. A stale print was 49.8 when the mid at that time was 50. You only trust 0.3 of that old deviation now, and a fresh peer signal adds -0.04. What fair value do you get?金融与交易中等数值题未尝试面试订阅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5556Volatility Shift In Price 1A European call is priced under Black-Scholes with spot 100, strike 100, rate 0.03, dividend yield 0, maturity 1, and initial volatility 0.2. If volatility changes to 0.25 while all else is unchanged, what are the old and new call prices?数理金融中等数值题未尝试面试订阅5557Volatility Shift In Price 2A European call is priced under Black-Scholes with spot 95, strike 100, rate 0.04, dividend yield 0.01, maturity 0.5, and initial volatility 0.22. If volatility changes to 0.28 while all else is unchanged, what are the old and new call prices?数理金融中等数值题未尝试面试订阅5558Volatility Shift In Price 3A European call is priced under Black-Scholes with spot 120, strike 110, rate 0.02, dividend yield 0, maturity 1.5, and initial volatility 0.18. If volatility changes to 0.24 while all else is unchanged, what are the old and new call prices?数理金融中等数值题未尝试面试订阅5571Vega And Rho 1For a European call with spot 100, strike 100, rate 0.03, dividend yield 0, volatility 0.2, and maturity 1, what are Black-Scholes vega and rho?数理金融中等数值题未尝试面试订阅