hard · Market Microstructure adverse-selection
In a Glosten-Milgrom framework, if the prior probability of high value V_H is 0.5, and the probability of an informed trader a is 0.2, what is the probability that the value is V_H given that a buy order has arrived?
- 0.60
- 0.50
- 0.52
- 0.70
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