Original title: A Simple Decision Problem of a Market Maker
Authors: Šmíd, Martin
Document type: Papers
Conference/Event: Mathematical Methods in Economics 2011, Janská Dolina (SK), 2011-09-06 / 2011-09-09
Year: 2011
Language: eng
Abstract: 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.
Keywords: decision problem; market makers; market microstructure; probability constraints; stochastic optimization
Project no.: CEZ:AV0Z10750506 (CEP), GA402/09/0965 (CEP), GAP402/10/1610 (CEP), GAP402/10/0956 (CEP)
Funding provider: GA ČR, GA ČR, GA ČR
Host item entry: Mathematical Methods in Economics 2011, ISBN 978-80-7431-058-4

Institution: Institute of Information Theory and Automation AS ČR (web)
Document availability information: Fulltext is available at external website.
External URL: http://library.utia.cas.cz/separaty/2011/E/smid-a simple decision problem of a market maker.pdf
Original record: http://hdl.handle.net/11104/0200240

Permalink: http://www.nusl.cz/ntk/nusl-71456


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