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National Repository of Grey Literature 2 records found  Search took 0.00 seconds. 
The Stigler-Luckock model for a limit order book
 Fornůsková, Monika ; Swart, Jan (advisor) ; Večeř, Jan (referee)
THE STIGLER-LUCKOCK MODEL FOR A LIMIT ORDER BOOK Abstract One of the types of modern-day markets are so-called order-driven markets whose core component is a database of all incoming buy and sell orders (order book). The main goal of this thesis is to extend the Stigler-Luckock model for order books to give a better insight into the price forming process and behaviour of the market participants themselves. The model introduced in this thesis focuses on a comparison of behaviour and various strategies of market makers who are sophisticated market participants profiting from extensive trading. The market is described using Markov chains, and the strategies are compared using Monte Carlo simulations and game theory. The results showed that market makers' orders should have small spread and large volumes. The final model compares two strategies in which market makers monitor their portfolio. In case of having more cash than asset (or vice versa), they shift prices of their orders to equalise the portfolio. The model recommends checking the market quite often, but acting conservatively, which means not changing prices that frequently and not jumping to conclusions just from a small imbalance in the portfolio.
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Martingale Approach to Roulette
 Fornůsková, Monika ; Večeř, Jan (advisor) ; Hlubinka, Daniel (referee)
This main aim of this thesis is to compare two different strategies in Roulette -- betting on a color and betting on a single number. Betting on a color represents a conservative strategy with diversified asset and betting on a number represents a more risky strategy without diversification. Distribution of the Maximum, the Last Exit Time and the Number of Visits of zero will be given for each strategy using Martingales or Markov Chains. The theoretical results will be supported by Monte Carlo simulations. Powered by TCPDF (www.tcpdf.org)
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See also: similar author names
4 Fornůsková, Magdaléna
2 Fornůsková, Michaela
1 Fornůsková, Miloslava
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