Number of the records: 1

Dynamic Model of Market with Uninformed Market Maker

SYSNO ASEP	0483753
Document Type	J - Journal Article
R&D Document Type	Journal Article
Subsidiary J	Článek ve WOS
Title	Dynamic Model of Market with Uninformed Market Maker
Author(s)	Šmíd, Martin (UTIA-B)_{RID, ORCID} Kopa, Miloš (UTIA-B)_RID
Number of authors	2
Source Title	Kybernetika. - : Ústav teorie informace a automatizace AV ČR, v. v. i. - ISSN 0023-5954 Roč. 53, č. 5 (2017), s. 922-958
Number of pages	37 s.
Publication form	Print - P
Language	eng - English
Country	CZ - Czech Republic
Keywords	market maker ; optimal decision ; price and inventory ; high frequency data ; dynamic model
Subject RIV	BB - Applied Statistics, Operational Research
OECD category	Statistics and probability
R&D Projects	GBP402/12/G097 GA ČR - Czech Science Foundation (CSF)
Institutional support	UTIA-B - RVO:67985556
UT WOS	000423010800012
EID SCOPUS	85039712281
DOI	10.14736/kyb-2017-5-0922
Annotation	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.
Workplace	Institute of Information Theory and Automation
Contact	Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201.
Year of Publishing	2018

Number of the records: 1