0433571 20240103204845.720141023235959.9 000350605800099 6 s. P cav_un_epca*0433570978-80-248-3631-7781-786OstravaVSB-TU Ostrava2014ŠmídMartin limit order market Markov property optimal trading cav_un_auth*0101206 Ekonometrie Department of Econometrics E E Department of Econometrics 100 Šmíd Martin UTIA-B Ústav teorie informace a automatizace AV ČR, v. v. i. http://library.utia.cas.cz/separaty/2014/E/smid-0433571.pdf cav_un_auth*0281000 GBP402/12/G097 GA ČR CZ cav_un_auth*0308374 CZ.1.07/2.3.00/20.0296 European Social Fund CZ 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. cav_un_auth*0308372 International Scientific Conference Managing and Modelling of Financial Risks 2014 /7./ 08.09.2014-09.09.2014 Ostrava CZ BB 2015 1 PR RVO:67985556 http://hdl.handle.net/11104/0237773 S 2014 000350605800099 WOS cav_un_epca*0433570 International Scientific Conference Managing and Modelling of Financial Risks 978-80-248-3631-7 781 786 Ostrava VSB-TU Ostrava 2014 Šmíd Martin 340