第 5 / 10 页
非代码面试题
显示 20 / 195 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
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5421Cross-Instrument Fair Value Update 1Current mid is 50. Your model says fair value should move by 0.6 times the futures move and 0.4 times the peer basket move. If futures move 0.8 and the peer basket move is 0.3, what updated fair value do you get?金融与交易简单数值题未尝试面试订阅5422Cross-Instrument Fair Value Update 2Current mid is 100. Your model says fair value should move by 0.45 times the futures move and 0.7 times the peer basket move. If futures move -1.1 and the peer basket move is -0.2, what updated fair value do you get?金融与交易简单数值题未尝试面试订阅5423Cross-Instrument Fair Value Update 3Current mid is 75.5. Your model says fair value should move by 0.8 times the futures move and 0.3 times the peer basket move. If futures move 0.35 and the peer basket move is 0.25, what updated fair value do you get?金融与交易简单数值题未尝试面试订阅5424Cross-Instrument Fair Value Update 4Current mid is 20. Your model says fair value should move by 1.1 times the futures move and 0.6 times the peer basket move. If futures move -0.12 and the peer basket move is 0.05, what updated fair value do you get?金融与交易简单数值题未尝试面试订阅5426Expected Fair Value Across Scenarios 1Your fast book model gives three possible fair values: 99.6 with p=0.2, 100 with p=0.5, 100.9 with p=0.3. If you quote around the expected fair value, what number should you use?金融与交易简单数值题未尝试面试订阅5427Expected Fair Value Across Scenarios 2Your fast book model gives three possible fair values: 49.2 with p=0.25, 50.1 with p=0.45, 50.7 with p=0.3. If you quote around the expected fair value, what number should you use?金融与交易简单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