bibtype	C - Conference Paper (international conference)
ARLID	0364871
utime	20240103195605.3
mtime	20111101235959.9
WOS	000309074600115
title (primary) (eng)	A Simple Decision Problem of a Market Maker
specification	page_count 4 s.
serial	ARLID cav_un_epca*0364870 ISBN 978-80-7431-058-4 title Mathematical Methods in Economics 2011 page_num 694-697 publisher place Prague name Proffesional publishing year 2011
keyword	market microstructure
keyword	market makers
keyword	decision problem
keyword	probability constraints
keyword	stochastic optimization
author (primary)	ARLID cav_un_auth*0101206 name1 Šmíd name2 Martin full_dept (cz) Ekonometrie full_dept (eng) Department of Econometrics department (cz) E department (eng) E institution UTIA-B full_dept Department of Econometrics fullinstit Ústav teorie informace a automatizace AV ČR, v. v. i.
source	url http://library.utia.cas.cz/separaty/2011/E/smid-a simple decision problem of a market maker.pdf
cas_special	project project_id GA402/09/0965 agency GA ČR ARLID cav_un_auth*0253176 project project_id GAP402/10/1610 agency GA ČR ARLID cav_un_auth*0263483 project project_id GAP402/10/0956 agency GA ČR ARLID cav_un_auth*0263482 research CEZ:AV0Z10750506 abstract (eng) 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. action ARLID cav_un_auth*0274752 name Mathematical Methods in Economics 2011 place Janská Dolina dates 06.09.2011-09.09.2011 country SK reportyear 2012 RIV BB num_of_auth 1 permalink http://hdl.handle.net/11104/0200240 arlyear 2011 mrcbU34 000309074600115 WOS mrcbU63 cav_un_epca*0364870 Mathematical Methods in Economics 2011 978-80-7431-058-4 694 697 Prague Proffesional publishing 2011