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PRICE SETTING OF MARKET MAKERS: A FILTERING PROBLEM WITH ENDOGENOUS FILTRATION - MaRDI portal

PRICE SETTING OF MARKET MAKERS: A FILTERING PROBLEM WITH ENDOGENOUS FILTRATION (Q2968281)

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PRICE SETTING OF MARKET MAKERS: A FILTERING PROBLEM WITH ENDOGENOUS FILTRATION
scientific article

    Statements

    title
    PRICE SETTING OF MARKET MAKERS: A FILTERING PROBLEM WITH ENDOGENOUS FILTRATION (English)
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    author
    Christoph Kühn
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    Matthias Riedel
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    publication date
    13 March 2017
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    zbMATH Keywords
    market making
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    bid-ask spread
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    stochastic filtering
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    point processes
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    Identifiers

    Mathematics Subject Classification ID
    91G99
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    91B24
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    91B25
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    60G35
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    91G10
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    zbMATH DE Number
    6693949
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    OpenAlex ID
    W1897158112
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    arXiv ID
    1210.4000
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    DOI
    10.1111/MAFI.12079
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