hard · Market Microstructure spread-econ
A dealer estimates that the probability of an informed trader arriving is α = 0.25 and the expected informational advantage is μ =0.40per share.
If the inventory and order processing components are0.05 each for the half-spread, what is the total competitive bid-ask spread?
- $0.30
- $0.50
- $0.20
- $0.40
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