Dynamic Model of Market with Uninformed Market Maker
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F17%3A00483753" target="_blank" >RIV/67985556:_____/17:00483753 - isvavai.cz</a>
Alternative codes found
RIV/00216208:11320/17:10384549
Result on the web
<a href="http://dx.doi.org/10.14736/kyb-2017-5-0922" target="_blank" >http://dx.doi.org/10.14736/kyb-2017-5-0922</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.14736/kyb-2017-5-0922" target="_blank" >10.14736/kyb-2017-5-0922</a>
Alternative languages
Result language
angličtina
Original language name
Dynamic Model of Market with Uninformed Market Maker
Original language description
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 thenspread mostly increasing in the uncertainty.
Czech name
—
Czech description
—
Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
10103 - Statistics and probability
Result continuities
Project
<a href="/en/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamic Models in Economics</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2017
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Kybernetika
ISSN
0023-5954
e-ISSN
—
Volume of the periodical
53
Issue of the periodical within the volume
5
Country of publishing house
CZ - CZECH REPUBLIC
Number of pages
37
Pages from-to
922-958
UT code for WoS article
000423010800012
EID of the result in the Scopus database
2-s2.0-85039712281