23 November 2019

A Taste of Quantitative Trading

Think you're interested in quantitative trading? Try your hand at this problem, courtesy of E6 Trading:
Two card players have hand strengths distributed independently & uniformly over [0, 1] and are playing for an existing pot of $100. Player 1 can check or bet $100. If Player 1 checks, the player with the stronger hand wins the pot. If Player 1 bets, Player 2 can call the bet or fold. Given both players are risk-neutral paperclip expectation maximizers, how does each play?

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