2. (Bid-ask Bounce) Roll (1984) assumes that the price, 10:, of an asset follows .9 Pt = f + i1: where f is a constant fundamental price, 3 is the bid-ask spread and It is a binary indicator variable given by I _ +1, with probability 1/2, (buyer) t 1, with probability 1/2. (seller) (a). Derive E(It), Var(It), and Corr(It,I,;_1). (b). Denote AI, = I, It_1. Derive E(AI,), Var(AIt), and Corr(AIt, AIt_1). (C). Denote Apt 2 pt pt_1. Derive Var(Apt) and Corr(Apt, Apt_k) for k = 1, 2. ). (d Please make a comment on what you have found in solving question (0)