Questions / Quant trading, Markets & quotes
Measure adverse selection
You buy one unit at 100.00. Immediately after the fill, the conditional expected liquidation value is 99.94. With no fees, what is expected mark-to-value P&L?
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Answer: -0.06 per unit (-3/50)
- For a purchased unit, value minus cost is 99.94 − 100 = −0.06.
Interview shortcut. Long one unit: P&L is value minus price paid.
In the app this has a follow-up where one thing about the setup changes. Try the follow-up.