0483753 20240903170638.320180101235959.9 85039712281 000423010800012 10.14736/kyb-2017-5-0922 37 s. P cav_un_epca*02971630023-5954535 (2017)922-958Ústav teorie informace a automatizace AV ČR, v. v. i. market maker optimal decision price and inventory high frequency data dynamic model cav_un_auth*0101206 Ekonometrie Department of Econometrics E E Department of Econometrics 50 Šmíd Martin UTIA-B Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0254103 Kopa Miloš Ekonometrie Department of Econometrics E E UTIA-B Department of Econometrics CZ Ústav teorie informace a automatizace AV ČR, v. v. i. http://www.library.utia.cas.cz/separaty/2017/E/smid-0483753.pdf cav_un_auth*0281000 GBP402/12/G097 GA ČR CZ We model a market with multiple liquidity takers and a single market maker maximizing his discounted consumption while keeping a prescribed probability of bankruptcy. We show that,given this setting, spread and price bias (a difference between the midpoint- and the expected fair price) depend solely on the MM’s inventory and his uncertainty concerning the fair price.Tested on ten-second data from ten US electronic markets, our model gives significant results with the price bias decreasing in the inventory and increasing in the uncertainty and with the spread mostly increasing in the uncertainty. BB 10000 10100 10103 2018 2 RVO:67985556 http://hdl.handle.net/11104/0279514 cav_un_auth*0355594 Charles University CZ S 3+4 Article Computer Science Cybernetics 3+4 Article Computer Science Cybernetics 3+4 Article Computer Science Cybernetics COMPUTERSCIENCE.CYBERNETICS 0.596 0.048 12.4 0.00096 0.224 808 0.321 0.513 63 Q4 18.907 11.4 Q4 Q3 0.2 Q4 11.364 2017 85039712281 SCOPUS PUBMED 000423010800012 WOS cav_un_epca*0297163 Kybernetika 0023-5954 Roč. 53 č. 5 2017 922 958 Ústav teorie informace a automatizace AV ČR, v. v. i.