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Conference Paper (international conference)
A Simple Decision Problem of a Market Maker
: Mathematical Methods in Economics 2011, p. 694-697
: Mathematical Methods in Economics 2011, (Janská Dolina, SK, 06.09.2011-09.09.2011)
: CEZ:AV0Z10750506
: GA402/09/0965, GA ČR, GAP402/10/1610, GA ČR, GAP402/10/0956, GA ČR
: market microstructure, market makers, decision problem, probability constraints, stochastic optimization
: http://library.utia.cas.cz/separaty/2011/E/smid-a simple decision problem of a market maker.pdf
(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.
: BB