hard · Market Microstructure adverse-selection
A stock is added to a major index. If the event probability α increases from 0.2 to 0.4 due to higher informed interest, while arrival rates μ = 500 and ε_b = ε_s = 1000 remain constant, by what factor (approximately) does the PIN increase?
- 2.00
- 1.50
- 1.25
- 1.91
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