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5371Realized Spread And Information Cost 1A buy trade occurs at 100.02 when the midpoint is 100. Five seconds later the midpoint is 100.03. What are the effective spread, realized spread, and adverse-selection component?金融与交易中等数值题未尝试面试订阅5372Realized Spread And Information Cost 2A sell trade occurs at 49.96 when the midpoint is 50. Five seconds later the midpoint is 49.94. What are the effective spread, realized spread, and adverse-selection component?金融与交易中等数值题未尝试面试订阅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5381Spread Component Mix 1A dealer models the half-spread as order-processing cost 0.008, inventory cost 0.004, and information cost 0.003. What quoted full spread does this imply, and what percentage of the half-spread comes from information risk?金融与交易中等数值题未尝试面试订阅5386Why Narrow Quoted Spread Can Still Be BadWhy can a stock show a narrow quoted spread but still deliver poor execution quality to liquidity takers?金融与交易中等essay未尝试面试订阅5387Why Large-Tick Names Stay WideWhy do large-tick names often sit at the minimum spread for long periods?金融与交易中等essay未尝试面试订阅5388Why Realized Spread ShrinksWhy does realized spread usually fall below effective spread when trades are informationally toxic?金融与交易中等essay未尝试面试订阅5389Why Midpoint Timing MattersWhy can the measured realized spread change materially depending on whether you use the midpoint 1 second later or 30 seconds later?金融与交易中等essay未尝试面试订阅5390Why Price Improvement Is Not EnoughA trade executes inside the NBBO and gets price improvement. Why is that not enough to conclude the trade was cheap?金融与交易中等essay未尝试面试订阅5391Posterior Value After A Buy 1The asset value is either 99 or 101. Prior P(high)=0.45. If the value is high, a buyer arrives with probability 0.8; if the value is low, a buyer arrives with probability 0.25. You observe a buy order. What is the posterior probability that the value is high, and what is the posterior fair value?金融与交易中等数值题未尝试面试订阅5393Posterior Value After A Buy 3The asset value is either 74 or 76.5. Prior P(high)=0.4. If the value is high, a buyer arrives with probability 0.85; if the value is low, a buyer arrives with probability 0.35. You observe a buy order. What is the posterior probability that the value is high, and what is the posterior fair value?金融与交易中等数值题未尝试面试订阅5394Posterior Value After A Buy 4The asset value is either 19.5 or 20.5. Prior P(high)=0.55. If the value is high, a buyer arrives with probability 0.7; if the value is low, a buyer arrives with probability 0.2. You observe a buy order. What is the posterior probability that the value is high, and what is the posterior fair value?金融与交易中等数值题未尝试面试订阅5396No-Loss Quote After Order Flow 1Value is either 99 or 101 with prior P(high)=0.5. If value is high, the probability of a buy order is 0.82; if value is low, it is 0.28. You observe a buy order and must set the break-even ask. What price avoids expected loss?金融与交易中等数值题未尝试面试订阅5397No-Loss Quote After Order Flow 2Value is either 49 or 51 with prior P(high)=0.45. If value is high, the probability of a sell order is 0.22; if value is low, it is 0.75. You observe a sell order and must set the break-even bid. What price avoids expected loss?金融与交易中等数值题未尝试面试订阅5400No-Loss Quote After Order Flow 5Value is either 149 or 151.5 with prior P(high)=0.35. If value is high, the probability of a buy order is 0.77; if value is low, it is 0.24. You observe a buy order and must set the break-even ask. What price avoids expected loss?金融与交易中等数值题未尝试面试订阅5401Break-Even Spread Under Informed Flow 1Suppose the true value is equally likely to be 99.8 or 100.2. A fraction 0.3 of traders are informed and always trade in the correct direction; the rest are noise traders who buy or sell with equal probability. A dealer posts symmetric quotes around the prior mean. What break-even half-spread, bid, and ask should the dealer use?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5411Why Getting Hit Is Bad NewsWhy does a passive market maker often interpret being lifted or hit as bad news about value?金融与交易中等essay未尝试面试订阅5412Why Spreads Widen Before EventsWhy do dealers often widen materially ahead of earnings or macro releases even if the pre-event midpoint looks calm?金融与交易中等essay未尝试面试订阅