medium · Market Microstructure adverse-selection
A market maker in Gamma-X uses the PIN model to adjust spreads.
If the probability of an information event is α = 0.30, the arrival rate of informed traders is μ = 400 per day, and the arrival rates of uninformed buyers and sellers are ε_b = 600 and ε_s = 600, what is the estimated Probability of Informed Trading?
- 0.200
- 0.100
- 0.300
- 0.091
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