Dynamic model of market with uninformed market maker

DOI10.14736/KYB-2017-5-0922zbMath1449.91147OpenAlexW3125643592MaRDI QIDQ4637440

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 dataoptimal decisionmarket makerprice and inventory

Mathematics Subject Classification ID

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

Uses Software

• NLopt

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