| bibtype |
J -
Journal Article
|
| ARLID |
0483753 |
| utime |
20240903170638.3 |
| mtime |
20180101235959.9 |
| SCOPUS |
85039712281 |
| WOS |
000423010800012 |
| DOI |
10.14736/kyb-2017-5-0922 |
| title
(primary) (eng) |
Dynamic Model of Market with Uninformed Market Maker |
| specification |
| page_count |
37 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0297163 |
| ISSN |
0023-5954 |
| title
|
Kybernetika |
| volume_id |
53 |
| volume |
5 (2017) |
| page_num |
922-958 |
| publisher |
| name |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
|
| keyword |
market maker |
| keyword |
optimal decision |
| keyword |
price and inventory |
| keyword |
high frequency data |
| keyword |
dynamic model |
| 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 |
50 |
| name1 |
Šmíd |
| name2 |
Martin |
| institution |
UTIA-B |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0254103 |
| name1 |
Kopa |
| name2 |
Miloš |
| full_dept (cz) |
Ekonometrie |
| full_dept |
Department of Econometrics |
| department (cz) |
E |
| department |
E |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| country |
CZ |
| 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 |
|
| abstract
(eng) |
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\nspread mostly increasing in the uncertainty. |
| RIV |
BB |
| FORD0 |
10000 |
| FORD1 |
10100 |
| FORD2 |
10103 |
| reportyear |
2018 |
| num_of_auth |
2 |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0279514 |
| cooperation |
| ARLID |
cav_un_auth*0355594 |
| name |
Charles University |
| country |
CZ |
|
| confidential |
S |
| mrcbC86 |
3+4 Article Computer Science Cybernetics |
| mrcbC86 |
3+4 Article Computer Science Cybernetics |
| mrcbC86 |
3+4 Article Computer Science Cybernetics |
| mrcbT16-e |
COMPUTERSCIENCECYBERNETICS |
| mrcbT16-j |
0.224 |
| mrcbT16-s |
0.321 |
| mrcbT16-B |
18.907 |
| mrcbT16-D |
Q4 |
| mrcbT16-E |
Q3 |
| arlyear |
2017 |
| mrcbU14 |
85039712281 SCOPUS |
| mrcbU24 |
PUBMED |
| mrcbU34 |
000423010800012 WOS |
| mrcbU63 |
cav_un_epca*0297163 Kybernetika 0023-5954 Roč. 53 č. 5 2017 922 958 Ústav teorie informace a automatizace AV ČR, v. v. i. |
|