A Simple Decision Problem of a Market Maker

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F11%3A00364871" target="_blank" >RIV/67985556:_____/11:00364871 - isvavai.cz</a>

Result on the web

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DOI - Digital Object Identifier

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Result language

angličtina

Original language name

A Simple Decision Problem of a Market Maker

Original language description

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 tradedasset but not on the amount of cash held by the market maker.

Czech name

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Czech description

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Type

D - Article in proceedings

CEP classification

BB - Applied statistics, operational research

OECD FORD branch

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Project

Result was created during the realization of more than one project. More information in the Projects tab.

Continuities

Z - Vyzkumny zamer (s odkazem do CEZ)

Publication year

2011

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection

Mathematical Methods in Economics 2011

ISBN

978-80-7431-058-4

ISSN

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e-ISSN

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Number of pages

4

Pages from-to

694-697

Publisher name

Proffesional publishing

Place of publication

Prague

Event location

Janská Dolina

Event date

Sep 6, 2011

Type of event by nationality

EUR - Evropská akce

UT code for WoS article

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