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Dynamic Model of Market with Uninformed Market Maker

  1. 1.
    0483753 - ÚTIA 2018 RIV CZ eng J - Článek v odborném periodiku
    Šmíd, Martin - Kopa, Miloš
    Dynamic Model of Market with Uninformed Market Maker.
    Kybernetika. Roč. 53, č. 5 (2017), s. 922-958. ISSN 0023-5954
    Grant CEP: GA ČR(CZ) GBP402/12/G097
    Institucionální podpora: RVO:67985556
    Klíčová slova: market maker * optimal decision * price and inventory * high frequency data * dynamic model
    Obor OECD: Statistics and probability
    Impakt faktor: 0.632, rok: 2017
    http://www.library.utia.cas.cz/separaty/2017/E/smid-0483753.pdf

    We model a market with multiple liquidity takers and a single market maker maximizing his discounted consumption while keeping a prescribed probability of bankruptcy. We show that,given this setting, spread and price bias (a difference between the midpoint- and the expected fair price) depend solely on the MM’s inventory and his uncertainty concerning the fair price.Tested on ten-second data from ten US electronic markets, our model gives significant results with the price bias decreasing in the inventory and increasing in the uncertainty and with the
    spread mostly increasing in the uncertainty.
    Trvalý link: http://hdl.handle.net/11104/0279514

     
     
Počet záznamů: 1