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berber · 2023年11月08日

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NO.PZ202304060100015002

问题如下:

Based on Exhibit 2, the average effective spread of the three trades is closest to:

选项:

A.

$0.0333.

B.

$0.0367.

C.

$0.0400.

解释:

C is correct. The effective bid–ask spread for buy orders is calculated as: Effective bid–ask spread (buy order) = 2 × {Trade price – [(Ask price + Bid price) / 2)]}

  • Effective spread of Trade 1 = 2 × {$25.20 – [($25.20 + $25.17)/2]} = $0.0300.
  • Effective spread of Trade 2 = 2 × {$25.22 – [($25.22 + 25.19)/2]} = $0.0300.
  • Effective spread of Trade 3 = 2 × {$25.27 – [($25.26 + $25.22)/2]} = $0.0600.
The resulting average effective spread is then calculated as:
  • Average effective spread = (Effective spread of Trade 1 + Effective spread of Trade 2 + Effective spread of Trade 3)/3.
  • Average effective spread = ($0.0300 + $0.0300 + $0.0600)/3 = $0.0400.

为什么第三笔交易的midqute,是用(25,26+25.22)/2,25.26是从哪里得来的

1 个答案

星星_品职助教 · 2023年11月08日

同学你好,

mid quote为(Bid + Ask )/2. 第三笔交易的Ask price为25.26.

可参照如下公式:

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