Adverse Selection in Limit Orders - Quant Trader Interview Question
Difficulty: Medium
Category: Market Microstructure
Practice quant interview questions from top firms including Jane Street, Citadel, Two Sigma, DE Shaw, and other leading quantitative finance companies.
Topics: adverse-selection, market-making, limit-order, order-book
Problem Description
You place a limit buy order for 100 shares of XYZ stock at 100 dollars. The order is immediately filled.
Assuming you have no private information about XYZ, and the market is generally efficient, what is the most likely explanation for this immediate fill?
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