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National Repository of Grey Literature

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	Markov Equilibrium between High Frequency Traders Šmíd, Martin We model an optimal behaviour of a finite number of (perhaps high frequency) traders at a limit order market with a instrument possibly paying dividends. The traders are assumed to trade continuously and to maximize their discounted consumption while keeping the probability of near-bankruptcy states at a prescribed level. The latency times, ie., the delays between the order submissions and the corresponding order books' changes, are taken into account. We show that the process describing the market is Markov given the largest among information sets of the agents. Detailed record
	Pravděpodobnostní vlastnosti spojité dvojité aukce - rovnoměrný případ Šmíd, Martin We study probabilistic properties of a zero intelligence model of a limit order market, very similar to those of /citet{Maslov00} and /citet{Smith03}. We (recursively) describe the distributions of the order books and the best quotes. Based on these theoretical results, a procedure for statistical inference of the model may be designed and the evolution of the process may be simulated more efficiently then by the crude simulation of all the events. Detailed record
	Dynamické chování racionálního inestora na trhu s limitními objednávkami Šmíd, Martin We generalize the traditional continuous time portfolio selection problem (Problem T) for the case of a nonzero bid-ask spread (Problem S) and, further, for the case that the investor may put limit orders (Problem L). We show that Problem L reduces to Problem S (if the spread is non-zero) or to Problem T (if the spread is zero). Detailed record
	Behavior a Risk Averse EMH-beliver at a Limit Order Market Šmíd, Martin Detailed record

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