Název:
A Simple Decision Problem of a Market Maker
Autoři:
Šmíd, Martin Typ dokumentu: Příspěvky z konference Konference/Akce: Mathematical Methods in Economics 2011, Janská Dolina (SK), 2011-09-06 / 2011-09-09
Rok:
2011
Jazyk:
eng
Abstrakt: 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.
Klíčová slova:
decision problem; market makers; market microstructure; probability constraints; stochastic optimization Číslo projektu: CEZ:AV0Z10750506 (CEP), GA402/09/0965 (CEP), GAP402/10/1610 (CEP), GAP402/10/0956 (CEP) Poskytovatel projektu: GA ČR, GA ČR, GA ČR Zdrojový dokument: Mathematical Methods in Economics 2011, ISBN 978-80-7431-058-4