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Bibliografie

Research Report

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

Šmíd Martin, Kopa M.

: ÚTIA AV ČR, (Praha 2012)

: Research Report 2328

: GAP402/10/1610, GA ČR

: market maker, rationality, price and volume process

: http://library.utia.cas.cz/separaty/2013/E/smid-a causal model of price and volume on market with a market maker.pdf

(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.

: BB

07.01.2019 - 08:39