0388739 20240103202127.720130207235959.9 A causal model of price and volume on market with a market maker Praha ÚTIA AV ČR 2012 12 s. Research Report 2328 market maker rationality price and volume process 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. cav_un_auth*0289084 Kopa M. CZ http://library.utia.cas.cz/separaty/2013/E/smid-a causal model of price and volume on market with a market maker.pdf GAP402/10/1610 GA ČR cav_un_auth*0263483 A model of a rational behaviour of a risk averse partially informed market maker solving multistage decision problem was proposed, implying an easily tractable and estimable stochastic model of high frequency trade and quote data process, which was subsequently successfully tested by means of data from US electronic markets. 2013 BB 2 4 O 4o 20231122135510.0 RVO:67985556 http://hdl.handle.net/11104/0217942 2012 Soubory v repozitáři: 0388739.pdf 2012 Praha ÚTIA AV ČR