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...
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| Published in | Journal of intelligent manufacturing Vol. 28; no. 3; pp. 657 - 665 |
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| Main Authors | , |
| Format | Journal Article |
| Language | English |
| Published |
New York
Springer US
01.03.2017
Springer Nature B.V |
| Subjects | |
| Online Access | Get full text |
| ISSN | 0956-5515 1572-8145 |
| DOI | 10.1007/s10845-014-1002-8 |
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| Abstract | 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. |
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| AbstractList | 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. |
| Author | Gao, Jinwu Guo, Cheng |
| Author_xml | – sequence: 1 givenname: Cheng surname: Guo fullname: Guo, Cheng email: rucguo@163.com organization: School of Information, Renmin University of China – sequence: 2 givenname: Jinwu surname: Gao fullname: Gao, Jinwu organization: School of Information, Renmin University of China |
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| Cites_doi | 10.1080/01969722.2010.511552 10.1111/j.1540-6261.1978.tb02054.x 10.1007/s00500-012-0927-0 10.1111/j.1540-6261.1978.tb02053.x 10.1111/j.1540-6261.1977.tb03240.x 10.2307/2330457 10.1016/0304-405X(74)90014-2 10.1016/0304-405X(81)90020-9 10.1186/2195-5468-1-1 10.2307/2329797 10.1111/j.1540-6261.1978.tb03395.x 10.1016/0304-405X(76)90006-4 10.1007/s10700-010-9073-2 10.1111/j.1540-6261.1979.tb02127.x 10.1007/978-3-642-13959-8 10.2307/1882244 10.1007/978-3-642-49888-6 10.1016/0304-405X(77)90045-9 10.3233/IFS-120688 10.1186/2195-5468-1-17 10.1186/2195-5468-1-2 10.2307/3003195 |
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| DOI | 10.1007/s10845-014-1002-8 |
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| Keywords | Uncertain process Uncertain variable Optimal dealer pricing Transaction uncertainty Uncertain differential equation |
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| SubjectTerms | 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 |
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| Title | Optimal dealer pricing under transaction uncertainty |
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