About: Optimal Strategies at a Limit Order Market

Facets (new session)
Description
Metadata
Settings
- owl:sameAs
- Inference Rule:

About: Optimal Strategies at a Limit Order Market Goto Sponge NotDistinct Permalink

An Entity of Type : http://linked.opendata.cz/ontology/domain/vavai/Vysledek, within Data Space : linked.opendata.cz associated with source document(s)

Attributes	Values
rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	We define a decision problem of an investor, trading continuously at a limit order market, maximizing a utility from his wealth at a random time horizon. We show that, in special cases (e.g. risk neutrality, quadratic or exponential utility function), the problem may be factorized and, given additional restrictions, it may even be solved. We define a decision problem of an investor, trading continuously at a limit order market, maximizing a utility from his wealth at a random time horizon. We show that, in special cases (e.g. risk neutrality, quadratic or exponential utility function), the problem may be factorized and, given additional restrictions, it may even be solved. (en)
Title	Optimal Strategies at a Limit Order Market Optimal Strategies at a Limit Order Market (en)
skos:prefLabel	Optimal Strategies at a Limit Order Market Optimal Strategies at a Limit Order Market (en)
skos:notation	RIV/67985556:_____/06:00041428!RIV10-AV0-67985556
http://linked.open...avai/riv/aktivita	P Z
http://linked.open...avai/riv/aktivity	P(GA402/04/1294), P(GA402/06/1417), Z(AV0Z10750506)
http://linked.open...vai/riv/dodaniDat	2010
http://linked.open...aciTvurceVysledku	Šmíd, Martin
http://linked.open.../riv/druhVysledku	D - Článek ve sborníku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Ústav teorie informace a automatizace AV ČR, v. v. i.
http://linked.open...dnocenehoVysledku	490786
http://linked.open...ai/riv/idVysledku	RIV/67985556:_____/06:00041428
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	limit order markets; multistage decision problems; market microstructure (en)
http://linked.open.../riv/klicoveSlovo	market microstructure limit order markets multistage decision problems
http://linked.open...ontrolniKodProRIV	[23416D1D5273]
http://linked.open...v/mistoKonaniAkce	Plzeň
http://linked.open...i/riv/mistoVydani	Plzeň
http://linked.open...i/riv/nazevZdroje	Proceedings of the 24th International Conference Mathematical Methods in Economics 2006
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	1 (xsd:int)
http://linked.open...vavai/riv/projekt	Stochastic decision approaches in nonlinear economic models Mathematical modeling of the microstructure of the financial markets with the non-synchronous trading
http://linked.open...UplatneniVysledku	2006
http://linked.open...iv/tvurceVysledku	Šmíd, Martin
http://linked.open...vavai/riv/typAkce	CST - Celostátní
http://linked.open.../riv/zahajeniAkce	2006-09-13 (xsd:date)
http://linked.open...n/vavai/riv/zamer	Pokročilé matematické metody získávání, zpracování a využití informací a znalostí ve složitých a nedeterministických systémech
number of pages	4 (xsd:int)
http://purl.org/ne...btex#hasPublisher	Západočeská univerzita v Plzni
https://schema.org/isbn	978-80-7043-480-2

Faceted Search & Find service v1.16.118 as of Jun 21 2024

Alternative Linked Data Documents: ODE Content Formats:

RDF

ODATA

Microdata

About

OpenLink Virtuoso version 07.20.3240 as of Jun 21 2024, on Linux (x86_64-pc-linux-gnu), Single-Server Edition (126 GB total memory, 100 GB memory in use)
Data on this page belongs to its respective rights holders.
Virtuoso Faceted Browser Copyright © 2009-2024 OpenLink Software