第 1 / 1 页
非代码面试题
显示 15 / 15 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
5366Effective Spread From Trade Price 1The NBBO is 99.98 bid / 100.02 ask, and a buyer-initiated trade prints at 100.015. What is the effective spread in price terms and in basis points of the prevailing midpoint?金融与交易简单数值题未尝试面试订阅5367Effective Spread From Trade Price 2The NBBO is 49.95 bid / 50.05 ask, and a seller-initiated trade prints at 49.97. What is the effective spread in price terms and in basis points of the prevailing midpoint?金融与交易简单数值题未尝试面试订阅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5837Roll Implied Spread From AutocovarianceUnder Roll's model, transaction price changes have a first-order serial autocovariance of -0.0009 (in price-squared units). Estimate the implied effective spread.金融与交易中等数值题未尝试面试订阅5838Round-Trip Half-Spread CostQuotes are 80.00 bid / 80.10 ask and stay constant. A trader buys 500 shares at the ask, then later sells the same 500 shares at the bid. What is the total dollar cost of crossing the spread on the round trip, and what is it as a multiple of the half-spread per share?金融与交易简单数值题未尝试面试订阅5839Relative Spread In Basis PointsStock A trades around 20.00 with a quoted spread of 0.04; stock B trades around 200.00 with a quoted spread of 0.30. Express each quoted spread in basis points of its midpoint, and state which name is more expensive to cross on a relative basis.金融与交易简单数值题未尝试面试订阅