Dynamic model of market with uninformed market maker.

DOI10.14736/KYB-2017-5-0922MaRDI QIDQ4637440zbMATH OpenOpenAlexFDO

Authors Martin Šmíd, Miloš Kopa

Publication date 18 April 2018

Published in Kybernetika (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10338.dmlcz/147102

zbMATH Keywords

dynamic modelhigh frequency datamarket makeroptimal decisionprice and inventory

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)

Recommendations

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Cited in

(7)

• Market-makers' supply and pricing of financial market liquidity.
• Market making with asymmetric information and inventory risk
• INNER MARKET AS A 'BLACK BOX' OF PARAMETERS FOR THE ENTIRE MARKET
• Market making and portfolio liquidation under uncertainty
• scientific article; zbMATH DE number 3954600 (Why is no real title available?)
• Dynamic learning and market making in spread betting markets with informed bettors
• A learning market-maker in the Glosten–Milgrom model

Describes a project that uses

Uses Software

• NLopt

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