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A Simple Decision Problem of a Market Maker
- 1.0364871 - ÚTIA 2012 RIV CZ eng C - Conference Paper (international conference)
Šmíd, Martin
A Simple Decision Problem of a Market Maker.
Mathematical Methods in Economics 2011. Prague: Proffesional publishing, 2011, s. 694-697. ISBN 978-80-7431-058-4.
[Mathematical Methods in Economics 2011. Janská Dolina (SK), 06.09.2011-09.09.2011]
R&D Projects: GA ČR GA402/09/0965; GA ČR GAP402/10/1610; GA ČR GAP402/10/0956
Institutional research plan: CEZ:AV0Z10750506
Keywords : market microstructure * market makers * decision problem * probability constraints * stochastic optimization
Subject RIV: BB - Applied Statistics, Operational Research
http://library.utia.cas.cz/separaty/2011/E/smid-a simple decision problem of a market maker.pdf
We formulate a simple decision model of a market maker maximizing an utility from his consumption. We reduce the dimensionality of the problem to one. We nd that, given our setting, the quotes set by the market maker depend on the inventory of the traded asset but not on the amount of cash held by the market maker.
Permanent Link: http://hdl.handle.net/11104/0200240
Number of the records: 1