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A high-frequency trading firm makes 10,000 trades per day. Each trade use 1/10000 of the capital of the firm. Assume the return of each trade
A high-frequency trading firm makes 10,000 trades per day. Each trade use 1/10000 of the capital of the firm. Assume the return of each trade is independent of each other, with expected value equal to 0.1% and standard deviation equal to 2%. What is the daily Sharpe ratio of this firm (assuming risk-free rate is 0)?
0.5 | ||
1 | ||
5 | ||
10 |
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