Optimal dealer pricing under transaction uncertainty

Dealers in securities markets are standing ready immediately to trade certain amounts of securities at stated bid and ask prices. This paper assumes that the amount of transactions follows an uncertain mean-reverting process associated with the bid and ask prices. In order to maximize the dealer’s t...

Full description

Saved in:
Bibliographic Details
Published inJournal of intelligent manufacturing Vol. 28; no. 3; pp. 657 - 665
Main Authors Guo, Cheng, Gao, Jinwu
Format Journal Article
LanguageEnglish
Published New York Springer US 01.03.2017
Springer Nature B.V
Subjects
Bids
Business and Management
Control
Differential equations
Equilibrium
Inventory
Machines
Manufacturing
Markets
Mathematical models
Mechatronics
Noise
Optimization
Parameters
Prices
Pricing
Pricing policies
Processes
Production
Rates of return
Robotics
Securities markets
Securities prices
Security
Subject specialists
Transaction processing
Uncertainty
Variables
Uncertain process
Uncertain variable
Optimal dealer pricing
Transaction uncertainty
Uncertain differential equation
Online AccessGet full text

Cover

More Information
Summary:Dealers in securities markets are standing ready immediately to trade certain amounts of securities at stated bid and ask prices. This paper assumes that the amount of transactions follows an uncertain mean-reverting process associated with the bid and ask prices. In order to maximize the dealer’s total wealth, an optimal dealer pricing model under transaction uncertainty is established. And the optimal bid price and ask price over time are derived. Finally, the variations of the optimal bid and ask prices with different parameters are presented.
Bibliography:SourceType-Scholarly Journals-1
ObjectType-Feature-1
content type line 14
ObjectType-Article-1
ObjectType-Feature-2
content type line 23
ISSN:0956-5515
1572-8145
DOI:10.1007/s10845-014-1002-8