0364871 20240103195605.320111101235959.9 000309074600115 4 s. cav_un_epca*0364870978-80-7431-058-4694-697PragueProffesional publishing2011 market microstructure market makers decision problem probability constraints stochastic optimization cav_un_auth*0101206 Šmíd Martin Ekonometrie Department of Econometrics E E UTIA-B Department of Econometrics Ústav teorie informace a automatizace AV ČR, v. v. i. http://library.utia.cas.cz/separaty/2011/E/smid-a simple decision problem of a market maker.pdf GA402/09/0965 GA ČR cav_un_auth*0253176 GAP402/10/1610 GA ČR cav_un_auth*0263483 GAP402/10/0956 GA ČR cav_un_auth*0263482 CEZ:AV0Z10750506 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. cav_un_auth*0274752 Mathematical Methods in Economics 2011 Janská Dolina 06.09.2011-09.09.2011 SK 2012 BB 1 http://hdl.handle.net/11104/0200240 2011 000309074600115 WOS cav_un_epca*0364870 Mathematical Methods in Economics 2011 978-80-7431-058-4 694 697 Prague Proffesional publishing 2011