ML Engineer MasterClass (April) | 6 seats left

Geometric and Negative Binomial Distributions

Geometric and Negative Binomial Distributions

Geometric and Negative Binomial Distributions

A market maker quotes a spread and waits. Each incoming order either fills or doesn't, independently, with some probability $p$. How many orders until the first fill? That's a geometric question. How many orders until the fifth fill, so the desk hits its daily volume target? That's a negative binomial question. Same setup, same probability $p$, same sequence of independent yes/no outcomes....

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