| bibtype |
V -
Research Report
|
| ARLID |
0388739 |
| utime |
20240103202127.7 |
| mtime |
20130207235959.9 |
| title
(primary) (eng) |
A causal model of price and volume on market with a market maker |
| publisher |
| place |
Praha |
| name |
ÚTIA AV ČR |
| pub_time |
2012 |
|
| specification |
|
| edition |
| name |
Research Report |
| volume_id |
2328 |
|
| keyword |
market maker |
| keyword |
rationality |
| keyword |
price and volume process |
| 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. |
|
| author
|
| ARLID |
cav_un_auth*0289084 |
| name1 |
Kopa |
| name2 |
M. |
| country |
CZ |
|
| source |
|
| cas_special |
| project |
| project_id |
GAP402/10/1610 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0263483 |
|
| abstract
(eng) |
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. |
| reportyear |
2013 |
| RIV |
BB |
| num_of_auth |
2 |
| mrcbC52 |
4 O 4o 20231122135510.0 |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0217942 |
| arlyear |
2012 |
| mrcbTft |
\nSoubory v repozitáři: 0388739.pdf |
| mrcbU10 |
2012 |
| mrcbU10 |
Praha ÚTIA AV ČR |
|