prikaz prve stranice dokumenta Analiza benchmark strategija u market-makingu
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undergraduate thesis
Analiza benchmark strategija u market-makingu
2021. urn:nbn:hr:168:453005
Tomaš, Marino
University of Zagreb
Faculty of Electrical Engineering and Computing

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Tomaš, M. (2021). Analiza benchmark strategija u market-makingu (Undergraduate thesis). Zagreb: University of Zagreb, Faculty of Electrical Engineering and Computing. Retrieved from https://urn.nsk.hr/urn:nbn:hr:168:453005

Tomaš, Marino. "Analiza benchmark strategija u market-makingu." Undergraduate thesis, University of Zagreb, Faculty of Electrical Engineering and Computing, 2021. https://urn.nsk.hr/urn:nbn:hr:168:453005

Tomaš, Marino. "Analiza benchmark strategija u market-makingu." Undergraduate thesis, University of Zagreb, Faculty of Electrical Engineering and Computing, 2021. https://urn.nsk.hr/urn:nbn:hr:168:453005

Tomaš, M. (2021). 'Analiza benchmark strategija u market-makingu', Undergraduate thesis, University of Zagreb, Faculty of Electrical Engineering and Computing, accessed 13 September 2024, https://urn.nsk.hr/urn:nbn:hr:168:453005

Tomaš M. Analiza benchmark strategija u market-makingu [Undergraduate thesis]. Zagreb: University of Zagreb, Faculty of Electrical Engineering and Computing; 2021 [cited 2024 September 13] Available at: https://urn.nsk.hr/urn:nbn:hr:168:453005

M. Tomaš, "Analiza benchmark strategija u market-makingu", Undergraduate thesis, University of Zagreb, Faculty of Electrical Engineering and Computing, Zagreb, 2021. Available at: https://urn.nsk.hr/urn:nbn:hr:168:453005

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Metadata
TitleAnaliza benchmark strategija u market-makingu
Title (english)Analysis of Benchmark Market-making Strategies
AuthorMarino Tomaš
MentorZvonko Kostanjčar (mentor)
Committee memberZvonko Kostanjčar (predsjednik povjerenstva)
Committee memberLovre Mrčela (član povjerenstva)
Committee memberBruno Gašperov (član povjerenstva)
GranterUniversity of Zagreb
Faculty of Electrical Engineering and Computing
Zagreb
Defense date and country2021-07-15, Croatia
Scientific / art field,
discipline and subdiscipline		TECHNICAL SCIENCES
Computing
Abstract
Problem stvaranja tržišta često se modelira kao problem optimalne(stohastičke) kontrole. Potrebno je kontinuirano određivati optimalne cijene limitiranih naloga i istovremeno minimizirati rizike kojima je izložen stvaratelj tržišta. Ovaj rad proučava analitičku strategiju koju su predstavili Gueant, Lehalle i Fernandez-Tapia. Također, ovaj rad proučava jednostavne strategije stvaranja tržišta, strategiju fiksne udaljenosti i strategiju linearnu u inventaru, te uspoređuje navedene strategije sa GLFT strategijom.
Abstract (english)
Market making problem is often described as an optimal (stochastic) control problem. Market maker continuously calculates prices of optimal limit orders, and at the same time minimize risks he is exposed to. Within this work, we analyse analytical market making strategy proposed by Gueant, Lehalle and Fernandez-Tapia. We also analyse two simple market making strategies: fixed offset strategy and linear inventory strategy. Finally, we compare GLFT strategy and simple market making strategies.
Keywords
Keywords (english)
Languagecroatian
URN:NBNurn:nbn:hr:168:453005
Study programmeTitle: Computing
Study programme type: university
Study level: undergraduate
Academic / professional title: sveučilišni/a prvostupnik/ prvostupnica (baccalaureus/baccalaurea) inženjer/inženjerka računarstva (sveučilišni/a prvostupnik/ prvostupnica (baccalaureus/baccalaurea) inženjer/inženjerka računarstva)
Type of resourceText
File originBorn digital
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Created on2023-01-14 21:51:22