Market-maker's gain variance
Artemy
I am reading the book "Trades, Quotes and Prices" by JEAN-PHILIPPE BOUCHAUD and have stuck in the very beginning with understanding the formula of variance of MM's gain per trade (see picture). How is this formula derived since it is not like a standard variance formula with expected value and mean in it? It is also strange to me that we literally calculate variance for a single variable. Would be very greatful for your answers