| bibtype |
C -
Conference Paper (international conference)
|
| ARLID |
0433571 |
| utime |
20240103204845.7 |
| mtime |
20141023235959.9 |
| WOS |
000350605800099 |
| title
(primary) (eng) |
Markov Equilibrium between High Frequency Traders |
| specification |
| page_count |
6 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0433570 |
| ISBN |
978-80-248-3631-7 |
| title
|
International Scientific Conference Managing and Modelling of Financial Risks |
| page_num |
781-786 |
| publisher |
| place |
Ostrava |
| name |
VSB-TU Ostrava |
| year |
2014 |
|
| editor |
|
|
| keyword |
limit order market |
| keyword |
Markov property |
| keyword |
optimal trading |
| author
(primary) |
| ARLID |
cav_un_auth*0101206 |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| full_dept |
Department of Econometrics |
| share |
100 |
| name1 |
Šmíd |
| name2 |
Martin |
| institution |
UTIA-B |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| cas_special |
| project |
| ARLID |
cav_un_auth*0281000 |
| project_id |
GBP402/12/G097 |
| agency |
GA ČR |
| country |
CZ |
|
| project |
| ARLID |
cav_un_auth*0308374 |
| project_id |
CZ.1.07/2.3.00/20.0296 |
| agency |
European Social Fund |
| country |
CZ |
|
| abstract
(eng) |
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. |
| action |
| ARLID |
cav_un_auth*0308372 |
| name |
International Scientific Conference Managing and Modelling of Financial Risks 2014 /7./ |
| dates |
08.09.2014-09.09.2014 |
| place |
Ostrava |
| country |
CZ |
|
| RIV |
BB |
| reportyear |
2015 |
| num_of_auth |
1 |
| presentation_type |
PR |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0237773 |
| confidential |
S |
| arlyear |
2014 |
| mrcbU34 |
000350605800099 WOS |
| mrcbU63 |
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 |
| mrcbU67 |
Šmíd Martin 340 |
|