Evaluating Total Operational Value and Associated Risks of Financial Holding Companies in Taiwan
Li-Hui Chen (2010)
The Yugoslav Journal of Operations Research
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Li-Hui Chen (2010)
The Yugoslav Journal of Operations Research
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Petersen, M.A., Mukuddem-Petersen, J., Mulaudzi, M.P., De Waal, B., Schoeman, I.M. (2010)
Discrete Dynamics in Nature and Society
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Shin-Heng Pao, Jyh-Horng Lin (2008)
The Yugoslav Journal of Operations Research
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Fouche, C.H., Mukuddem-Petersen, J., Petersen, M.A., Senosi, M.C. (2008)
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Martin Šmíd, Miloš Kopa (2017)
Kybernetika
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We model a market with multiple liquidity takers and a single market maker maximizing his discounted consumption while keeping a prescribed probability of bankruptcy. We show that, given this setting, spread and price bias (a difference between the midpoint- and the expected fair price) depend solely on the MM's inventory and his uncertainty concerning the fair price. Tested on ten-second data from ten US electronic markets, our model gives significant results with the price bias decreasing...
Jyh-Horng Lin, Chuen-Ping Chang (2004)
The Yugoslav Journal of Operations Research
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Bhattacharya, Sukanto, Kumar, Kuldeep (2007)
Journal of Applied Mathematics and Decision Sciences
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The Yugoslav Journal of Operations Research
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Josephy, N., Kimball, L., Steblovskaya, V. (2008)
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Journal of Applied Mathematics and Decision Sciences
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Journal of Applied Mathematics and Decision Sciences
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Journal of Applied Mathematics and Decision Sciences
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The Yugoslav Journal of Operations Research
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Kuo-Chen Hung (2011)
The Yugoslav Journal of Operations Research
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T. Roy, K.S. Chaudhuri (2012)
The Yugoslav Journal of Operations Research
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