Počet záznamů: 1

A Simple Decision Problem of a Market Maker

  1. 1.
    0364871 - UTIA-B 2012 RIV CZ eng C - Konferenční příspěvek (zahraniční konf.)
    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]
    Grant CEP: GA ČR GA402/09/0965; GA ČR GAP402/10/1610; GA ČR GAP402/10/0956
    Výzkumný záměr: CEZ:AV0Z10750506
    Klíčová slova: market microstructure * market makers * decision problem * probability constraints * stochastic optimization
    Kód oboru RIV: BB - Aplikovaná statistika, operační výzkum
    http://library.utia.cas.cz/separaty/2011/E/smid-a simple decision problem of a market maker.pdf 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.
    Trvalý link: http://hdl.handle.net/11104/0200240