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A Simple Decision Problem of a Market Maker

SYSNO ASEP	0364871
Document Type	C - Proceedings Paper (int. conf.)
R&D Document Type	Conference Paper
Title	A Simple Decision Problem of a Market Maker
Author(s)	Šmíd, Martin (UTIA-B)_{RID, ORCID}
Number of authors	1
Source Title	Mathematical Methods in Economics 2011. - Prague : Proffesional publishing, 2011 - ISBN 978-80-7431-058-4
Pages	s. 694-697
Number of pages	4 s.
Action	Mathematical Methods in Economics 2011
Event date	06.09.2011-09.09.2011
VEvent location	Janská Dolina
Country	SK - Slovakia
Event type	EUR
Language	eng - English
Country	CZ - Czech Republic
Keywords	market microstructure ; market makers ; decision problem ; probability constraints ; stochastic optimization
Subject RIV	BB - Applied Statistics, Operational Research
R&D Projects	GA402/09/0965 GA ČR - Czech Science Foundation (CSF)
	GAP402/10/1610 GA ČR - Czech Science Foundation (CSF)
	GAP402/10/0956 GA ČR - Czech Science Foundation (CSF)
CEZ	AV0Z10750506 - UTIA-B (2005-2011)
UT WOS	000309074600115
Annotation	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.
Workplace	Institute of Information Theory and Automation
Contact	Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201.
Year of Publishing	2012

Number of the records: 1