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Publication details

A Simple Decision Problem of a Market Maker

Conference Paper (international conference)

Šmíd Martin


serial: Mathematical Methods in Economics 2011, p. 694-697

action: Mathematical Methods in Economics 2011, (Janská Dolina, SK, 06.09.2011-09.09.2011)

research: CEZ:AV0Z10750506

project(s): GA402/09/0965, GA ČR, GAP402/10/1610, GA ČR, GAP402/10/0956, GA ČR

keywords: market microstructure, market makers, decision problem, probability constraints, stochastic optimization

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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.

RIV: BB

2012-12-21 16:10