Institute of Information Theory and Automation

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Publication details

A causal model of price and volume on market with a market maker

Research Report

Šmíd Martin, Kopa M.


publisher: ÚTIA AV ČR, (Praha 2012)

edition: Research Report 2328

project(s): GAP402/10/1610, GA ČR

keywords: market maker, rationality, price and volume process

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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.

RIV: BB

2012-12-21 16:10