| bibtype |
C -
Conference Paper (international conference)
|
| ARLID |
0041428 |
| utime |
20240111140639.4 |
| mtime |
20060925235959.9 |
| title
(primary) (eng) |
Optimal Strategies at a Limit Order Market |
| specification |
| page_count |
4 s. |
| media_type |
CD ROM |
|
| serial |
| ARLID |
cav_un_epca*0076799 |
| ISBN |
978-80-7043-480-2 |
| title
|
Proceedings of the 24th International Conference Mathematical Methods in Economics 2006 |
| page_num |
1-4 |
| publisher |
| place |
Plzeň |
| name |
University of West Bohemia in Pilsen |
| year |
2006 |
|
| editor |
|
|
| title
(cze) |
Optimální strategie na trhu s limitními objednávkami |
| keyword |
limit order markets |
| keyword |
multistage decision problems |
| keyword |
market microstructure |
| author
(primary) |
| ARLID |
cav_un_auth*0101206 |
| name1 |
Šmíd |
| name2 |
Martin |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| share |
100 |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
| source_type |
textový soubor |
| source_size |
204 kB |
|
| COSATI |
12B |
| cas_special |
| project |
| project_id |
GA402/06/1417 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0213949 |
|
| project |
| project_id |
GA402/04/1294 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0001810 |
|
| research |
CEZ:AV0Z10750506 |
| abstract
(eng) |
We define a decision problem of an investor, trading continuously at a limit order market, maximizing a utility from his wealth at a random time horizon. We show that, in special cases (e.g. risk neutrality, quadratic or exponential utility function), the problem may be factorized and, given additional restrictions, it may even be solved. |
| abstract
(cze) |
V práci je definován problém rozhodování investora, který spojitě obchoduje na trhu s limitními objednávkami a chce maximalizhovat užitek z bohatství na svém investičním horizontu. Je ukázáno, že ve speciálních případech (riziková neutralita, kvadratická nebo exponenciální užitková funkce) může být tento rozhodovací problém faktorizován a, pokud jsou splňeny dodatečné předpoklady, i vyřešen. |
| action |
| ARLID |
cav_un_auth*0216663 |
| name |
Mathematical Methods in Economics 2006 |
| place |
Plzeň |
| dates |
13.09.2006-15.09.2006 |
| country |
CZ |
|
| reportyear |
2010 |
| RIV |
AH |
| permalink |
http://hdl.handle.net/11104/0134898 |
| arlyear |
2006 |
| mrcbU56 |
textový soubor 204 kB |
| mrcbU63 |
cav_un_epca*0076799 Proceedings of the 24th International Conference Mathematical Methods in Economics 2006 978-80-7043-480-2 1 4 Plzeň University of West Bohemia in Pilsen 2006 |
| mrcbU67 |
Lukáš L. 340 |
|