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Quant Interview Practice Questions

专题
Market Microstructure
难度
L3
来源
MyntBit

题目详情

Empirical studies suggest that order sizes in equity markets approximately follow a power law, resembling a Zipf distribution. Suppose the probability that an order size, XX, exceeds a certain value, xx, is given by P(X>x)xαP(X > x) \propto x^{-\alpha}, where α1.5\alpha \approx 1.5. Based on this information, does this distribution have a finite mean? Does it have a finite variance?