medium · Market Microstructure adverse-selection
If the bid price P_bid is 48.50, the unconditional expectation E[V] is 50.00, and the prior is δ = 0.5, what is the implied ask price P_ask assuming a symmetric Glosten-Milgrom model?
- $49.25
- $50.75
- $53.00
- $51.50
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