Search results
- 1.0458944 - ÚTIA 2017 RIV GB eng J - Journal Article
Šmíd, Martin
Estimation of zero-intelligence models by L1 data.
Quantitative Finance. Roč. 16, č. 9 (2016), s. 1423-1444. ISSN 1469-7688. E-ISSN 1469-7696
R&D Projects: GA ČR(CZ) GBP402/12/G097
Institutional support: RVO:67985556
Keywords : Limit Order Market * Stochastic Models * Econometric Methods
Subject RIV: BB - Applied Statistics, Operational Research
Impact factor: 0.960, year: 2016
http://library.utia.cas.cz/separaty/2016/E/smid-0458944.pdf
Permanent Link: http://hdl.handle.net/11104/0260311 - 2.0433571 - ÚTIA 2015 RIV CZ eng C - Conference Paper (international conference)
Šmíd, Martin
Markov Equilibrium between High Frequency Traders.
International Scientific Conference Managing and Modelling of Financial Risks. Ostrava: VSB-TU Ostrava, 2014 - (Šmíd, M.), s. 781-786. ISBN 978-80-248-3631-7.
[International Scientific Conference Managing and Modelling of Financial Risks 2014 /7./. Ostrava (CZ), 08.09.2014-09.09.2014]
R&D Projects: GA ČR(CZ) GBP402/12/G097
Grant - others:European Social Fund(CZ) CZ.1.07/2.3.00/20.0296
Program: EE - Operační program Vzdělávání pro konkurenceschopnost (2007-2015)
Institutional support: RVO:67985556
Keywords : limit order market * Markov property * optimal trading
Subject RIV: BB - Applied Statistics, Operational Research
http://library.utia.cas.cz/separaty/2014/E/smid-0433571.pdf
Permanent Link: http://hdl.handle.net/11104/0237773 - 3.0372702 - ÚTIA 2012 RIV CZ eng J - Journal Article
Šmíd, Martin
Probabilistic properties of the continuous double auction.
Kybernetika. Roč. 48, č. 1 (2012), s. 50-82. ISSN 0023-5954
R&D Projects: GA ČR GAP402/10/1610; GA ČR GAP402/10/0956; GA ČR(CZ) GA402/06/1417
Institutional research plan: CEZ:AV0Z10750506
Keywords : continuous double auction * limit order market * distribution
Subject RIV: BB - Applied Statistics, Operational Research
Impact factor: 0.619, year: 2012
http://library.utia.cas.cz/separaty/2012/E/smid-0372702.pdf
Permanent Link: http://hdl.handle.net/11104/0205955File Download Size Commentary Version Access 0372702.pdf 1 444.8 KB Publisher’s postprint open-access - 4.0329700 - ÚTIA 2010 RIV CZ eng C - Conference Paper (international conference)
Šmíd, Martin
Probabilistic properties of the continuous double auction - uniform case.
[Pravděpodobnostní vlastnosti spojité dvojité aukce - rovnoměrný případ.]
Proceedings of 27th International Conference Mathematical Methods in Economics 2009. Prague: Czech University of Life Sciences Prague, 2009 - (Brožová, H.), s. 317-322. ISBN 978-80-213-1963-9.
[27th International Conference Mathematical Methods in Economics 2009. Kostelec nad Černými lesy (CZ), 09.09.2009-11.09.2009]
R&D Projects: GA ČR GA402/07/1113; GA ČR GA402/09/0965; GA MŠMT(CZ) LC06075
Institutional research plan: CEZ:AV0Z10750506
Keywords : continuous double auction * limit order market * statistical inference
Subject RIV: AH - Economics
http://library.utia.cas.cz/separaty/2009/E/smid-probabilistic properties of the continuous double auction - uniform case.pdf
Permanent Link: http://hdl.handle.net/11104/0175662 - 5.0314404 - ÚTIA 2009 RIV CZ eng J - Journal Article
Šmíd, Martin
Price Tails in the Smith and Farmer's Model.
[Chvosty rozdělení ceny v Smithově a Farmerově modelu.]
Bulletin of the Czech Econometric Society. Roč. 15, č. 25 (2008), s. 31-40. ISSN 1212-074X
R&D Projects: GA ČR GA402/07/1113; GA ČR(CZ) GA402/06/1417
Institutional research plan: CEZ:AV0Z10750506
Keywords : limit order market * continuous double auction * price increments * fat tails * tail exponent
Subject RIV: AH - Economics
http://library.utia.cas.cz/separaty/2008/E/smid-price tails in the smith and farmer's model.pdf
Permanent Link: http://hdl.handle.net/11104/0164926 - 6.0086466 - ÚTIA 2008 RIV CZ eng J - Journal Article
Šmíd, Martin
Are Limit Orders Rational?
[Je racionální používat limitní objednávky?]
Acta Oeconomica Pragensia. Roč. 14, č. 4 (2007), s. 32-38. ISSN 0572-3043
R&D Projects: GA ČR(CZ) GA402/06/1417; GA ČR GA402/04/1294; GA ČR GD402/03/H057
Institutional research plan: CEZ:AV0Z10750506
Keywords : market microstructure * limit order market * portfolio selection
Subject RIV: AH - Economics
Permanent Link: http://hdl.handle.net/11104/0148722 - 7.0086424 - ÚTIA 2008 RIV CZ eng J - Journal Article
Šmíd, Martin
On Uselessness of Limit Orders.
[O neužitečnosti limitních objednávek.]
Bulletin of the Czech Econometric Society. Roč. 2007, č. 24 (2007), s. 45-57. ISSN 1212-074X
R&D Projects: GA ČR GD402/03/H057; GA ČR GA402/07/1113; GA ČR(CZ) GA402/06/1417
Institutional research plan: CEZ:AV0Z10750506
Keywords : market microstructure * limit order market * portfolio selection
Subject RIV: AH - Economics
Permanent Link: http://hdl.handle.net/11104/0148695 - 8.0079785 - ÚTIA 2008 CZ eng V - Research Report
Šmíd, Martin
Dynamic Behavior of a Rational Agent at a Limit Order Market.
[Dynamické chování racionálního inestora na trhu s limitními objednávkami.]
Praha: ÚTIA AV ČR, 2006. 8 s. Research Report, 2177.
R&D Projects: GA ČR GD402/03/H057; GA ČR(CZ) GA402/06/1417
Institutional research plan: CEZ:AV0Z10750506
Keywords : limit order market * portfolio selection problem
Subject RIV: AH - Economics
Permanent Link: http://hdl.handle.net/11104/0144354 - 9.0079783 - ÚTIA 2008 RIV AU eng E - Electronic Document
Šmíd, Martin
Dynamic Behavior of a Rational Agent at a Limit Order Market.
[Dynamické chování racionálního agenta na trhu s limitními objednávkami.]
[PDF]. - Sydney: UTIA AV ČR, 2006
R&D Projects: GA ČR(CZ) GA402/06/1417; GA ČR GD402/03/H057
Institutional research plan: CEZ:AV0Z10750506
Keywords : Rational agent * limit order market * behaviour
Subject RIV: AH - Economics
www.klec.cz/martin
Permanent Link: http://hdl.handle.net/11104/0144352 - 10.0031205 - ÚTIA 2007 CZ eng V - Research Report
Šmíd, Martin
Behavior a Risk Averse EMH-beliver at a Limit Order Market.
Praha: ÚTIA AV ČR, 2006. 6 s. Research Report, 2159.
R&D Projects: GA ČR(CZ) GA402/06/1417; GA ČR(CZ) GA402/04/1294; GA ČR GD402/03/H057
Institutional research plan: CEZ:AV0Z10750506
Keywords : risk averse investors * limit order market * efficient market hypothesis
Subject RIV: AH - Economics
Permanent Link: http://hdl.handle.net/11104/0131957