A causal model of price and volume on market with a market maker

0388739 - ÚTIA 2013 CZ eng V - Výzkumná zpráva
Šmíd, Martin - Kopa, M.
A causal model of price and volume on market with a market maker.
Praha: ÚTIA AV ČR, 2012. 12 s. Research Report, 2328.
Grant CEP: GA ČR GAP402/10/1610
Institucionální podpora: RVO:67985556
Klíčová slova: market maker * rationality * price and volume process
Kód oboru RIV: BB - Aplikovaná statistika, operační výzkum
http://library.utia.cas.cz/separaty/2013/E/smid-a causal model of price and volume on market with a market maker.pdf

A model of a rational behaviour of a risk averse partially informed market maker solving multistage decision problem was proposed, implying an easily tractable and estimable stochastic model of high frequency trade and quote data process, which was subsequently successfully tested by means of data from US electronic markets.
Trvalý link: http://hdl.handle.net/11104/0217942