Institute of Information Theory and Automation

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Arbitrage on limit order markets with boundedly rational agents

Agency: 
GACR
Identification Code: 
GA19-11062S
Start: 
2019-01-01
End: 
2021-12-30
Project Focus: 
teoretický
Project Type (EU): 
other
Abstract: 
The goal of this Project is to study arbitrage opportunities on limit order markets with boundedly rational agents. To this end, we aim to construct a model of a market with boundedly rational liquidity providers (market makers), liquidity takers (institutional/retail investors) and arbitragers (high frequency traders), and examine pay-offs of the arbitragers depending on the market's parameters. The software implementation of the model will be made freely available, open for further enhancements.
Publications ÚTIA: 
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2019-02-06 15:07